1. Preheat oven to 350°F. Spread walnuts evenly on a large baking sheet. Bake, stirring often, until lightly browned and fragrant, 8 to 10 minutes. Transfer to a bowl and let cool completely. Finely chop walnuts; cover and set aside.
2. Combine Cheddar, cream cheese and butter in a food processor. Pulse several times, scraping sides of bowl, until well blended and smooth. (Work in batches if processor is not large enough.) Pulse in juice, cayenne, 1 tsp. salt and 1/2 tsp. pepper. Add pimientos; pulse to blend, leaving some pieces visible. Taste and season with salt and pepper, if desired.
3. Line a large bowl with plastic wrap. Place cheese mixture in bowl. Pull wrap around mixture, twisting the ends of the wrap and forming cheese mixture into a ball. Leave ball in bowl and chill for at least 10 hours.
4. Remove plastic wrap and roll ball in chopped walnuts. Cover and chill until ready to serve. Set out with crackers, if desired.