Buffalo Chicken Wings

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16 chicken wings (about 3 pounds)

1/4 pound (1 stick) unsalted butter

1 teaspoon cayenne pepper

4 teaspoons Frank's Hot Sauce, or 1 teaspoon Tabasco

1 teaspoon kosher salt

1 1/2 cups crumbled Gorgonzola or other blue cheese

1 cup good mayonnaise

3/4 cup sour cream

2 tablespoons milk

3/4 teaspoon Worcestershire sauce

1 1/2 teaspoons kosher salt

3/4 teaspoon freshly ground black pepper

Celery sticks, for serving