Put the cheddar, flour, butter, salt and cayenne into the bowl of a food processor and pulse until well combined and crumbly. (If you don’t have a food processor, grate the cheese and toss it with the dry ingredients, breaking it up as much as you can with a whisk, pastry cutter or fork.) Add the milk and pulse until it starts to come together. Remove the dough from the food processor and gather it into a ball. Cover with a tea towel and let rest for about 20 minutes.
Preheat the oven to 350°F. On a lightly floured surface, roll the dough out into an oval or rectangle about 1/8” thick and cut crosswise into strips that are about 1/4” wide using a pizza wheel or sharp knife. (Alternatively, cut the dough into stars or other small shapes.) Transfer to an ungreased cookie sheet and if you like, twist them a few times for dramatic effect. Bake for 10-12 minutes, until pale golden on the ends.