Cream together cheddar and butter. Incorporate salt and cayenne, then slowly add flour until dough forms and sticks together.

Turn dough onto a large piece of plastic wrap and press into a log about 1 1/2 inches thick. Wrap tightly with plastic wrap and refrigerate for at least 1 hour.

Preheat oven to 350°.

Unwrap dough and slice into 1/4-inch rounds.

Place cookies on a parchment-paper lined baking sheet at least 1 inch apart.

Bake at 350° for 5 minutes. Remove from the oven and press a thumbprint into the center of each cookie. Spoon pepper jelly into each indent and return to the oven.

Continue baking at 350° until edges are crisp, about 10 minutes.

Let cool completely on baking sheets before serving.