In a large bowl, mix together the butter, Cheddar cheese, pecans, cayenne pepper and salt until well blended. Gradually mix in flour, using your hands to work in the last bit. The result will be a stiff dough much like shortbread. Form the dough into logs about 1 inch thick, and 10 inches long. Wrap each log in waxed paper, and refrigerate until firm, at least 3 hours.
Preheat the oven to 350 degrees F (175 degrees C). Unwrap the chilled logs of dough, and slice into ¼ inch thick rounds using a sharp knife. Place slices about 1 inch apart onto cookie sheets lined with parchment paper.
Bake for exactly 12 minutes in the preheated oven, until firm and slightly browned at the edges. Allow wafers to cool for 1 minute before removing from the pan.
The logs of dough freeze really well so you can keep some in the freezer to make as needed.