"I want a cheese sandwich and a glass of water."
Panino AL formaggio = panino DI formaggio = panino CON formaggio. Tutti sono correte.
I've seen panino DI formaggio used, and if you google it you get a lot of results of pages using it. I'm no Italian native speaker though...
Yes, I am a native speaker and I think it's nicer to say "vorrei" rather than "voglio" when ordering in a restaurant. But it's not a big deal either way, in my opinion.