This easy appetizer can be made well ahead and kept in the freezer until you are ready to bake. Cheddar Cheese Coins make a great nibbly with a glass of wine. Having just one is not an option ;)
In the bowl of a food processor, pulse together flour, cheddar cheese, salt, cayenne and butter until fine crumbs.
With the machine running, add the egg yolk and water.
Pour mixture onto counter top, sprinkle with walnuts and knead gently until just combined. Add additional water by the teaspoon if mixture looks dry.
Roll the dough into a 1.5 inch diameter log about 12 inches in length, pressing out any air pockets.
Wrap the log in plastic wrap, refrigerate until very firm (at least 4 hours or over night).
Preheat oven to 350°F.
Slice the log into 1/4 inch slices.
Place on parchment lined baking sheet and bake until light golden brown (12-15 minutes).