Warm the oil in a nonstick skillet over medium-high heat. Place the chicken thighs in the skillet skin-down. Cook for about 8 minutes, until the skin is browned. Turn and cook for about 3 minutes. Remove the thighs from the skillet with tongs and place in a baking dish large enough to hold them in a single layer.
Reduce the heat to medium. Add the vinegar, honey, and cayenne to the skillet, stirring up any browned bits, and simmer for 2-3 minutes.
Combine the cornstarch with 2 tablespoons water in a small dish, stirring to completely dissolve the cornstarch. Stir the cornstarch and water into the sauce in the skillet, cooking for 2-3 minutes until thickened. Add the salt and pecans. Pour the sauce over the thighs in the baking dish.
Bake for 15 minutes, then spoon the sauce and pecans over the chicken thighs to glaze. Continue baking for 15 minutes, or until the thighs are done.