Mix together the cheddar cheese, cream cheese, pimento peppers, and mayonnaise until well combined. Taste for salt and pepper. Cayenne is optional and can be added at this point.

Generously spoon the mixture onto one slice of bread and top with another slice. With a serrated knife, trim the crust off. Wrap the sandwiches with plastic wrap and refrigerate for 30 minutes. Slice the sandwiches into quarters.

You can serve the sandwiches as is or serve it with an olive on top skewered with a toothpick.