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PdfCream the butter, cheese, and cayenne pepper together.
Gradually stir in the flour.
Fold in the pecans and mix well.
On waxed paper, shape dough into 3-4 rolls. Wrap and twist the end of each log. Refrigerate or freeze until firm.
Preheat oven to 250° F. Line cookie sheets with parchment paper. Pinch off the dough the size of a large marble, shape cookie, and arrange on cookie sheets. Refrigerate any unused portion of dough.
Bake for 30 minutes at 250° F. Reduce the oven temperature to 200° F, to prevent browning, and bake for another 30-40 minutes (until crisp). Remove from oven, and cool on wire racks. Store in airtight containers for several days.
Alternatives: Reduce cayenne pepper to a pinch, and pecans to ½ cup. Follow directions above, except make cookies slightly larger and sprinkle with powdered sugar when removed from oven.