Place salmon, skin side down, in baking dish. Season with salt, paprika and cayenne. Drizzle with lemon juice and 1 tablespoon olive oil. Bake for 10 minutes or until salmon flakes easily when tested with a fork. Slice into 4 pieces, removing skin.
Brush one side of each bread slice with remaining olive oil. Place on a work surface, oiled side down. Top 4 bread slices equally with salmon, arugula and cheese. Cover with remaining bread slices, oiled side up, and press together gently.
Place sandwiches on preheated panini grill (set at medium) or in a large skillet over medium heat and cook, turning once if using a skillet, for 3 to 4 minutes or until golden brown and cheese is melted. Serve immediately.