Using an electric hand mixer, beat butter and blue cheese in a large bowl until combined and fluffy. (Or use a stand mixer fitted with the flat beater).

Whisk together flour, salt, cayenne pepper, and red pepper flakes in a medium bowl. Add to the butter/cheese mixture and mix until crumbly, about 1 minute. Add 1 tablespoon water and mix until combined.

Dump the dough onto a work surface and press it together tightly until it comes together in a ball. Roll dough into a log 2 inches thick by 10 inches long. Roll up the log with parchment or wax paper. Chill dough thoroughly, at least 4 hours or overnight.

Preheat the oven to 350 degrees F. Line baking sheets with parchment or non-stick liner.

Beat the egg with 1 tablespoon of water to make an egg wash. Un-roll the log from the parchment and brush dough with egg wash.

Spread the chopped walnuts on the parchment paper and roll the log over the nuts to coat it evenly.

Cut the log into 1/3-inch slices. Place cookies 1 inch apart on baking sheets and chill for 20 minutes.

Bake for 18 minutes, or until lightly browned. Rotate baking sheet once during baking.

Cook cookies on the baking sheet for 1 minute then transfer to a cooling rack. Cool completely.