In a bowl, rub together the flour and butter to a crumb, then rub in the grated Cheddar with the cayenne pepper and salt. Add about 1 tablespoon of cold water and bind. Alternatively, put all the ingredients in a food processor and pulse-chop to a crumb, before adding the water through the feeder tube while running at full speed until the dough balls. Cling-wrap and refrigerate for 1 hour.
Preheat the oven to 180°C/350°F/ gas 4 and grease 2 baking trays with a little butter. Roll out the cheese pastry on a lightly floured surface to a thickness of about 6 mm / ¼ inch and cut into fingers about 7.5 cm / 3 inches long and 2 cm / ¾ inch wide. Sprinkle with a little grated Parmesan or Cheddar, put on the trays and bake for 10 minutes.
Ideally, serve while still warm.