Preheat oven to 350°. In a large bowl, beat butter until light and fluffy. Beat in cheese until blended. Combine flour, salt and cayenne; stir into cheese mixture until a dough forms. Roll into a 15x6-in. rectangle. Cut into thirty 6-in. strips. Gently place strips 1 in. apart on ungreased baking sheets.
Bake until lightly browned, 15-20 minutes. Cool 5 minutes before removing from pans to wire racks to cool completely. Store in an airtight container.