First put the water and butter into a small saucepan put onto the heat and bring up to simmer melting the butter.
Now add the flour and mix well off the heat, make sure the roux is dry before adding the egg.
Now add the egg bit by bit and beat well. Now add the cheese, mix well, season with cayenne and salt.
Put into a piping bag and pipe out the size of a small walnut onto baking paper leaving space between each one.
Put into a preheated oven at 180°C for 25 minutes approx. until golden brown. Remove from the oven and serve.