Render the bacon in a saucepan, over medium high heat, cooking about 4 minutes. Add the milk, salt, cayenne, and butter and bring to a boil. Stir in the grits and reduce the heat to medium. Stir for 30 seconds, then add the cheese and stir until the cheese melts. Cook, uncovered, for 4 to 5 minutes, or until the grits are tender and creamy. Serve immediately.