Preheat the oven to 300 degrees F.
In a food processor, add the butter, cheese, flour, salt and cayenne and process until a smooth dough is formed. Scoop it into a cookie press, fitted with a flat ridged tip. Pipe the dough in 2-inch strips onto a lightly greased cookie sheet. (Alternatively, refrigerate the dough for 30 minutes and roll on a lightly floured surface into a 1/4-inch thick rectangle. Cut into smaller rectangles, about 2 by 3-inches, with a pizza wheel or sharp knife.) Bake for 10 to 15 minutes or until lightly browned. Remove to racks to cool.