Pre-heat oven to 230°C, 450°F, Gas Mark 8.
Rub the butter, flour and Salt together until it resembles breadcrumbs. Mix in the cheese, egg yolk and ½ tsp Cayenne Pepper until a soft dough.
Roll out to a square approx 1cm (½") thick. Cut into thin strips.
Place on a greased baking tray. Brush with egg white. Bake for 10-15 minutes.
Mix cream and mayonnaise with ¼ tsp Cayenne for the dip.