Mix the cheeses together with the butter, mustard, flour, and cayenne. Season with plenty of salt and black pepper.
Rub lightly between your fingertips until the mixture resembles breadcrumbs.
Bring together into a dough, adding a dash of water to help it bind.
Preheat the oven to 400°F. Line a baking sheet with parchment paper.
On a separate sheet of parchment paper, roll out the dough to about 1/4 inch thick. Refrigerate for about 20 minutes.
Cut into straws and space out on the baking sheet. Bake for about 15 minutes until golden brown, rotating the baking sheet halfway through.
Leave to cool completely. Store in an airtight container.