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.