In a large mixing bowl, whisk together the flour, baking powder, sugar, salt, and cayenne pepper. Cut in the cold butter using a pastry blender or two knives until the mixture looks like coarse crumbs. Then, fold in the shredded cheddar cheese.
In a separate bowl, whisk together the beaten eggs and heavy cream. Pour this wet mixture into the dry ingredients, stirring until just combined and a dough forms.
Bake in the preheated oven for 18 to 22 minutes, or until the scones turn a lovely golden brown. Once done, remove them from the oven and let them cool slightly on the baking sheet.