Lay pastry sheets flat on a clean work surface and lightly brush tops with olive oil. In a food processor blend nuts, sugar, cayenne pepper, salt, lime zest and juice and rosemary. Evenly spread this mixture over the pastry sheets. Starting from each end roll the pastry towards the center creating 2 spirals that touch in the center. Repeat with second pastry sheet. Wrap both in plastic wrap and place in freezer until ready to cook. (These can be stored in the freezer for weeks.)
Preheat the oven to 375 degrees F and set the racks in the upper and lower parts of the oven. Cut the palmiers into 3/4-inch slices and place on 2 parchment lined baking sheets. Bake for 15 to 20 minutes or until golden brown, switching pans halfway through. Remove from oven and let cool a few minutes before removing to racks to cool completely.