Preparation

• Heat the oven to 400°F. Line two baking sheets with parchment or lightly butter them.
• Combine the milk, 1/2 cup water, and butter in a medium-size saucepan and bring to a boil over high heat, stirring until the butter is melted. Add the flour and salt all at once, reduce the heat to medium, and stir the mixture vigorously with a wooden spoon until it pulls away from the sides of the pan. Continue stirring for several minutes over low heat, then remove from the heat and cool for 1 minute. The dough should not brown and will be thick, smooth, and shiny.
• Add the dough to the bowl of an electric stand mixer fitted with the paddle attachment. Mix on low speed for 3 to 4 minutes, or until it isn’t steaming any more but isn’t completely cool, before adding the eggs, one at a time, incorporating each egg before adding the next. Add the grated Cheddar and pimento cheese along with the black and cayenne peppers and mix to blend.
• Use a spatula to transfer the dough to a pastry bag fitted with a 1/2-inch round tip and pipe 1-1/2-inch mounds, approximately the volume of a heaping tablespoon, on the baking sheets 2 inches apart.
• Bake until deep golden brown, about 17 minutes. Reduce the heat to 300°F, put a wooden spoon in the door so that it’s slightly ajar, and bake for another 10 minutes.