Preheat the oven to 350 degrees F.
In a medium sized bowl, mix together the sugar, cayenne and salt.
Bring a small saucepan of water to boil. Add the walnuts and blanch them for 3 minutes. Drain well and then immediately roll the walnuts in the sugar mixture until thoroughly coated. The sugar will melt slightly. Transfer the walnuts to a baking sheet or pan and bake, stirring occasionally, until they are a deep golden brown, about 10 minutes. Watch carefully because the sugar can burn easily. Let cool completely before serving.
Recipe courtesy of Laura Werlin, "The All American Cheese and Wine Book", Stewart, Tabori & Chang, 2003