Mix softened butter, flour and cheese. Add cayenne pepper and 1 beaten egg. Place in plastic wrap or aluminum foil and chill several hours or overnight. When ready to cook, remove dough from refrigerator and let set on counter for a bit to soften so you can roll it out. Preheat oven to 350 degrees and place parchment paper on baking sheet; beat egg in a separate bowl to use as an egg wash. I take about 1/3 of the mixture at a time and on a floured surface, roll out dough until it's about 1/8 - 1/4 inch thick. Cut out circles with a small biscuit cutter and place circles on parchment paper, not touching. Brush tops of circles with egg wash. Bake 10 minutes, depending on how thick you have rolled the dough. You'll need to keep an eye on them, so they don't burn. They will begin to brown slightly on the top. Remove from oven and immediately sprinkle with salt. (While I have a batch cooking, I will roll out more dough and cut the circles. That way I don't walk off and leave them to cook too long, which I'm good at doing). Cool and remove from parchment to container with tight fitting lid.