In a saucepan, melt butter. Stir in the flour, mustard and cayenne until smooth; gradually add the milk. Bring to a boil; cook and stir for 1-2 minutes or until thickened. Reduce heat; stir in cheese until melted. Remove from the heat.
Stir a small amount of hot mixture into egg yolks; return all to the pan, stirring constantly. Cool slightly. In a bowl, beat egg whites until stiff peaks form. Fold into egg yolk mixture.
Pour into four greased 10-oz. souffle dishes or custard cups. Bake at 350° for 20 minutes or until a knife inserted in the center comes out clean. Serve immediately.