Preheat the oven to 375 degrees.
In a large mixing bowl, cream together the butter and cheese until the cheese is evenly mixed throughout.
Add the flour, salt and cayenne pepper.
With the mixer on low, mix the dough until the flour is completely incorporated. Then turn the mixer up to medium and continue to mix until the dough comes together.
Line a baking sheet with parchment paper or aluminum foil.
Using a cookie press, form the dough into 2 ½ - 3-inch straws leaving ¼-inch of space between each straw.
If you don’t have a cookie press, roll the dough out to 3/8-inch thick. Cut the strips 1 ½ inches wide and 2 ½ to 3 inches long.
Bake the straws for 12 minutes until they start to turn golden brown in some places.
Allow the straws to cool on the baking sheet for about five minutes before transferring them to a cooling rack.