Add flour, salt, cheese, and cayenne pepper in a large bowl. Combine all together until the cheese is coated.
Pour melted butter and work the dough with your hand until you get a soft one. If the dough is too dry, add the milk if needed. If it’s not, skip the milk. It will depend on the flour and the butter you are using.
Knead the dough for 2 minutes.
Roll out the dough.
Fold it into a squared shape.
Roll out again (0.20 inches | 0.5cm).
With a sharp knife, cut out the cheese straws in long strips.
Add enough oil to a pan and heat until hot. Fry the cheese straws on each side until golden brown. Don't over-crowd the pan. Always leave a bit of space in between them when frying.
*If your pan is small, just cut the cheese straws shorter. Remove and place on a plate with absorbent paper.