In a pan, heat the lard and water together until the lard is melted. Pour the lard mixture into the flour and stir with a wooden spoon until the mixture comes together form a soft dough. Set aside to cool.
Once cooled enough to handle, turn the dough out onto a floured work surface and flatten slightly. Place a pastry dolly into the middle of the pastry, then mould the pastry up around the dolly, making sure the pastry is of even thickness all over. Reserve enough pastry for the lid. Chill in the fridge to firm up.
Preheat the oven to 220C/450F/Gas 7.
Meanwhile, place the damsons and sugar into a pan set over a low heat until the sugar has dissolved. Remove from the heat.
Remove the pastry from the fridge and place onto a baking tray. Remove the dolly and place a slice of membrillo or damson cheese into the bottom. Pour in the damson and sugar mixture, then top with another slice of membrillo or damson cheese. Shape the remaining pastry over the top to form a lid and seal. Cut a small slit into the lid to allow steam to escape.
Bake for 45 minutes, or until the pastry is golden-brown and crisp. Serve the pie with clotted cream or crème fraîche.