In a large heavy skillet, over a medium heat, warm the oil. Stir in the sugar, salt, cayenne, and pepper. Mix well, until sugar starts to melt. Add the pecans and coat thoroughly.
Drain the pecans on a baking sheet and cool.
Store in an airtight container, in the refrigerator, for up to 2 weeks.
c.1997, M.S. Milliken & S. Feniger, all rights reserved