Preheat your oven to 425°F (220°C) and line a baking sheet with parchment paper.

In a large mixing bowl, sift together the flour, baking powder, salt, and cayenne pepper if using.

Cut in the cold, cubed butter using a pastry blender or your fingertips until the mixture resembles coarse crumbs.

Stir in the shredded cheddar cheese until evenly distributed.

Gradually add the milk and stir until a soft dough forms. Be careful not to overmix.

Turn the dough out onto a lightly floured surface and gently knead it a few times to bring it together.

Pat the dough into a circle about 3/4-inch thick and use a 2-inch round cutter to cut out scones. Re-form the scraps and continue cutting until all dough is used.

Place the scones on the prepared baking sheet, brush the tops with a bit of milk, and bake for about 15 minutes or until golden brown and risen.

Let the scones cool on the baking sheet for a few minutes before transferring them to a wire rack to cool completely.