I got the recipe from Allrecipes I'll rewrite it here for those that don't wish to click on the link.
2 C flour
2 C shredded cheddar cheese
3/4 C butter
1 t baking powder
1/4 t cayenne pepper
1/2 t salt
1/2 cup water
Make sure your butter is soft, but not melted. Combine all ingredients except water, until well combined. Add water slowly, until you have a very stiff dough.
Roll the dough in small batches on a lightly floured surface. You want to have snakes slightly thicker than a pencil and about 4-5 inches long. Arrange on a baking sheet. They will puff quite a bit.
Bake at 400 degrees for 5-10 minutes, or until browned. The original recipe called for 5 minutes, but I found mine needed closer to 10. Maybe I made them too thick.
The little boy from up the street is currently devouring them. I will probably try them with some wheat flour next time. That will probably up the nuttiness and texture a bit.