Preheat oven to 425 degrees F.
Cream the butter with the salt and cayenne. Add the grated cheese (use the best possible cheese, I like 4-year old Vermont or Canadian cheddar) and mix thoroughly, then add the flour and blend until everything is well-distributed. Add enough water (a few tablespoons) to make it easy to gather into a ball.
Knead just enough to make a smooth ball. Don't worry about over-working, but don't work it a lot, either. Roll out on a heavily-floured board to about 1/4 inch thick. Cut into shapes about 1 1/2 inch in diameter - I use a star-shaped cutter, but you can use any shape.
Arrange on a non-stick surface (silpat is nice), a quarter inch or so apart is enough - they grow up rather than out, and bake for 12-15 minutes, until puffed up and lightly golden brown. Cool for a few minutes on a rack and eat anytime after that. They're best hot to warm, but good for days.