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Preheat oven to 350 degrees F.
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Cream together the butter and sugar until very smooth.
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Sift the flour into the butter mixture and using a pastry mixer (or two forks), work the ingredients into a crumbly but very fine mixture.
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Add the cayenne pepper.
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On a lightly floured surface, roll dough out to prefered thickness (I usually make mine kind of thin- about 1/8 inch).
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Cut into desired shapes and place on a nonstick baking sheet.
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Bake until golden brown.
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The time will depend on the size and thickness of your shortbreads.
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I usually bake mine for about 8 minutes, but if you are unsure, check after 5 minutes to make sure that you don't overbake them.
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Cool on racks and enjoy!