Cream butter and cheese, add salt and cayenne pepper. Continue to mix until creamy. Add flour one cup at a time and mix well. Stir in pecans. Divide into four equal sections and make into a roll, wrap in plastic wrap and refrigerate until firm – overnight is good.
Cut into 1/4″ slices and place on baking sheet. Bake at 325 degrees about 20 minutes. Do not brown. Remove from pans and cool on wire racks. Store in airtight containers. May be frozen.