Preheat your oven to 400°F (200°C) and line two baking sheets with parchment paper.

In a large mixing bowl, combine sifted all-purpose flour, shredded sharp cheddar cheese, cubed cold unsalted butter, salt, and cayenne pepper.

Add cold water, one tablespoon at a time, until the dough comes together. Do not overwork.

Roll out the dough into a rectangle about ¼ inch thick and cut into strips approximately ½ inch wide.

Beat the egg and brush the top of each cheese straw with the egg wash.

Bake in the preheated oven for 12-15 minutes or until puffed and golden brown.

Let the cheese straws cool on the baking sheets for about 5 minutes before transferring to a wire rack.