Lightly brush corn with oil and place on hot grill, turning occasionally, until kernels are browned in spots, about 10 minutes.
While corn is grilling, in a small bowl, whisk together mayonnaise and cayenne. Using the small teardrop-shaped holes on a four-sided grater, grate the cotija.
Brush mayonnaise mixture onto hot corn and sprinkle with cojita.
Serve corn on the cob with lime wedges.
Recipe courtesy of Gourmet Magazine