Sift together flour, salt and cayenne pepper. Set aside.
Cream butter in large bowl with electric mixer. Add cheese and mix by hand until thoroughly blended.
On low speed, gradually add sifted dry ingredients and beat until thoroughly incorporated.
Lightly flour cutting board. Turn dough out.
Flour hands lightly. Shape dough into 2 long rolls 8 by 2 inches.
Wrap in wax paper and then in foil. Refrigerate at 6 hrs or freeze for 2 hrs.
To bake crackers, slice dough 1/8 to 1/4 inch thick. Place on unbuttered cookie sheet. Place one pecan half on each penny. Bake at 350 degrees, 12 to 15 minutes, until pennies are lightly colored. Remove pennies from tray as soon as they are taken from the oven. Transfer to racks to cool.
Makes 3 dozen.