Preheat the oven to 350°F. Spray a baking sheet with olive oil spray.
In a medium bowl, toss together the cashews, sugar, butter, salt, and cayenne. Spread the mixture out on the prepared baking sheet. Bake, stirring the nuts occasionally, until well roasted, about 20 minutes. Set aside to cool.
Chop the candied cashews slightly before using them as a topping for the pudding or other desserts. Store them in an airtight container at room temperature for up to 3 days.
Recipe by Susan Feniger. Reprinted with permission from Susan Feniger's Street Food, Clarkson Potter, 2012.