Preheat oven to 350 degrees F (175 degrees C). Lightly grease a large baking sheet.
In a small saucepan, melt butter over low heat. In a large bowl, combine flour, salt and cheese. Make a well in the center of the flour mixture and add the butter, milk and water; stir gently to combine. Add water in small amounts until dough pulls together.
Knead dough on a lightly floured surface until smooth and press out to 3/4 inch thickness. Cut dough into rounds with a floured 1 1/4 inch cookie or biscuit cutter. Place rounds on prepared tray and sprinkle lightly with cayenne pepper.
Bake in preheated oven for 10 to 12 minutes. Handle scones gently until complete cool.
