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In a bowl, use a hand mixer to beat together finely-grated sharp Cheddar cheese with softened unsalted butter.
Once combined, mix in heavy cream, an egg, Worcestershire sauce, salt, dry mustard, and cayenne pepper or hot sauce, to taste.
Slice the crusts off firm white sandwich bread slices, then cut each slice into four squares.
Spread the cheese mixture on half, using about a teaspoon each, then top with another square of bread.
Use the rest of the cheese mixture to coat the top and sides of each mini sandwich.
Place the 'dreams' on a sheet pan and bake at 375°F until golden brown, about 15 minutes.