Just done it a couple hours ago for the first time on my GPZ Ive just finished. Really enjoyed the route and the scenery at Cheddar Gorge was a real treat. Will be combining with Velvet Bottome and Burrington Combe loop as recommended on here.
Always best I think from Cheddar up the gorge rather than down. Good to combine with dropping down through Velvet Bottom and Burrington Coombe for a complete circuit.
Follow the A39 South from Chewton Mendip and turn right onto the B3135. After about 8 miles you will start to drop down into the gorge. Just sit back and enjoy the show. Best to go early in the morning before the tourists get there, before 8am and just ride up and down the gorge five or six times. Look out for the mountain goats!