Preheat the oven to 350 degrees. Mix cheese and butter on medium speed with an electric mixer until well blended.
Sift flour with salt and cayenne pepper. Stir pecans into the flour mixture. Add to the cheese and butter mixture and mix until a ball of dough forms.
Divide the dough into four or five parts and roll each part into a log about the diameter of a quarter. Wrap each log in waxed paper and chill in the fridge for at least two hours or up to two weeks. Logs can also be frozen for up to three months.
When ready to bake slice the logs in 1/4 inch slices and place on parchment lined cookie sheets or plain cookies sheets that have not been greased. Bake at 350 for 10-12 minutes. Do not allow to get too brown. Cool for about 2 minutes before removing to racks to cool.
These are delicious served as an appetizer or with tomato soup.