This recipe is from Tom Sietsema's column in the Sunday Washington Post. Haven't tried it yet myself, but his photos looked great. Posting here to save it until I have a chance to make them.
You will need additional flour for dusting.
Preheat oven to 350 degrees F. Have 2 heavy baking sheets at hand.
Cut chilled butter into chunks. Combine butter, salt, crumbled blue cheese, cayenne, and flour in a food processor. Pulse until a ball of dough forms. Add egg yolk if the dough does not come together, and process until incorporated.
Lightly dust a work surface and rolling pin with flour.
Divide the dough in half. Working with one portion at a time, roll out a rectangle to ¼” thick. Re-dust the rolling pin and work surface as needed. Fold and roll as many times (at least six) as needed to form a tidy 6 X 9 inch rectangle.
Use a long, sharp knife to score the rectangle of dough, creating 18 straws (approx. 1/2” wide X 6” long). Arrange close but not touching on baking sheets. Repeat with remaining dough.
Sprinkle lightly with kosher salt. Bake one sheet at a time for 20 to 25 minutes, or until the straws just begin to brown. Transfer to wire racks to cool.