Pour oil in a heavy, non aluminum 1 to 2 quart saucepan. Bring
the oil to 225 degrees on a deep-fry thermometer over moderately
low heat. Remove from the heat and stir in the cayenne pepper, and
let cool to room temperature undisturbed or overnight if you
wish.
Strain the oil slowly and patiently through one or more large paper
coffee filters into an impeccably clean glass jar. Store at room
temperature.
A whoppingly spicy-hot oil, this is the perfect seasoning to use when
you are wanting 1,000 watt chile power with only a few drops of oil.
From: Chinese Gastronomy by Lin HsiangJu and Tsuifeng Lin
Be strict about observing the oil temperature, and do not add the
cayenne if the oil is hotter than 250 degrees, or it will burn to a
hideous mess.
Like any dry spice, the cayenne should smell "alive" if the results
are to be good.