1. Preheat oven to 400°F. In a food processor, process cheese and butter until smooth and creamy, stopping machine and scraping down sides of bowl as needed. Add flour, salt and cayenne and pulse until mixture forms a soft, pliable dough.
2. Transfer dough to a large pastry bag fitted with a star tip and pipe 3-inch-long straws onto ungreased baking sheets. Alternatively, place dough in a large ziplock bag, snip off a corner and pipe 3-inch or longer straws (the latter will yield fewer straws) and twist decoratively. Refrigerate for 30 minutes.
3. Bake until straws are lightly browned around edges, 10 to 12 minutes. Let cool on baking sheets.