Cholesterol monohydrate is practically insoluble in water (less then 0.5 mg/100 ml of water); slightly soluble in alcohol (1.29% w/w at 20 °C), more soluble
in hot alcohol (100 g of saturated 96% alcoholic solution contains 28 g at 80 °C). Also one gram dissolves in 2.8 ml of ether, in 4.5 ml of chloroform,
and in 1.5 ml of pyridine. The product is soluble in acetone, dioxane, ethyl acetate, benzene, petroleum ether, oils, fats, and in aqueous solutions of bile salts
How to you want to check the interaction between your proteins and cholesterol?
Cholesterol is virtually insoluble in aqueous buffers and by using cyclodextrins it is 'masked', i.e. it is in solution but it doesn't behave like 'free' cholesterol. Your proteins are most likely in some aqueous buffer, so it's going to be problematic.
Some of the possibilities, depending on your question and equipment, are lipid overlay assays (cheap, dirty but unmodified cholesterol) and surface plasmon resonance with cholesterol containing bilayers.
Since cholesterol is typically found in membranes I would suggest that you study the interaction between your protein and cholesterol embedded in liposomes. See for example this article by Mesmin et al: http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3204063/pdf/4004.pdf.
In there, is also described a FRET assay which was used to determine how effectively a protein (StarD4) could transport cholesterol from one membrane to another.
I always prepare a concentrated solution of cholesterol in ethylic alcohol and administer it in cell medium using a very very little volume (few microliters)