Pulse the flour, 1 teaspoon salt, cayenne and baking powder in a food processor until combined. Add the butter and pulse again until the butter is in small pieces, about 8-10 pulses. Add the cheeses and pulse again to combine then add the egg and pulse again until the mixture just starts to come together. (This took several pulses for me and I stopped just when the mixture started looking like dough and large and small clumps started forming.)

Transfer the dough to a lightly-floured surface. Sprinkle the nuts on top of the dough and start kneading everything together. The nuts will stray and fall back on the work surface but just keep pressing them into the dough. Knead with the heel of your hand for a couple of minutes until you have a cohesive dough. Shape it into a flat disk and wrap with plastic wrap and refrigerate for 1-2 hours until the butter is firm. I divided my dough in two and froze half the batch for later use. It's also easier to work with the smaller piece of dough.

Preheat your oven to 400℉, positioning the top and bottom thirds of the oven (I used only one sheet so I baked only on the lower rack). Roll out the dough on a lightly floured surface to 1/4-inch thickness. Using a 2-inch cookie cutter, stamp out the rounds and lay them on a parchment-lined baking sheet. Re-roll the scraps and stamp out more rounds until you've used up all of the dough. Brush the tops of the rounds with the glaze and sprinkle lightly with kosher or sea salt.

Bake until the sablés are golden brown and thoroughly cooked inside, about 12-14 minutes, rotating the sheet halfway through the cooking time. Test for doneness by breaking one of the biscuits in half to see if the center looks doughy. If so, continue to bake them for another 1-2 minutes but be careful not to over bake them. Mine were ready at 12-13 minutes. Cool on a wire rack completely before serving or storing. I think these were best the day they were made but they were still very nice the next day after they were lightly toasted in a toaster oven.