Blend the butter, cheese, salt and cayenne pepper together until well combined. Stir in the flour and mix well. Shape dough into 3 rolls about 1 1/2 inches in diameter. Wrap the rolls in plastic wrap and refrigerate until firm.
Preheat oven to 375 degrees F (190 degrees C).
Cut rolls into 1/8 to 1/4 inch thick slices. Place on a parchment paper lined baking sheet and press a pecan half or piece onto the top of each cookie.
Bake at 375 degrees F (190 degrees C) for about 12 minutes or until set. Let cool on wire wracks before storing in an airtight container.
