Preheat oven to 425 degrees.
In a large bowl, stir together the flour, sugar, baking powder, baking soda, cayenne pepper and salt.
Using a pastry blender or two knives, cut in the butter until the mixture resembles coarse crumbs. Stir in the cheese.
Add the buttermilk all at once, stirring with a fork to make a soft, sticky dough.
With lightly floured hands, press the dough into a ball. On a lightly floured surface, knead gently 10 times.
Pat out the dough into a 3/4-inch thick round. Using a 2-1/2-inch floured cutter, cut out rounds.
Place on an ungreased baking sheet. Gather up the scraps and repeat; cut out more rounds.
Brush the tops of the scones with egg. Bake in a 425 degree F oven for 12 to 15 minutes or until golden.
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