If I were going to test it, I'd dye the cheese different colours (with tasteless odourless dye) and try each colour in both plain and wiggly, announcing it as a trial of the effects of the colouring. Or just use different varieties, and downplay the effect of the cutting, though this would probably need a bigger sample :)

In another respect, if one is trying to sell specially rough knives, it doesn't matter if the effect is placebo or not.

Couldn't you just blindfold yourself so you don't know what kind of cheese you're getting? :)