Combine the water and salt in a heavy saucepan and bring to a boil over high heat. Add the cornmeal in a slow, constant stream, stirring constantly, and making sure the water does not stop boiling. Continue to cook over medium heat for 2 to 3 minutes, stirring constantly, until the mixture is smooth and thick. Remove from the heat and stir in the grated cheese and optional cayenne pepper. Cool to room temperature. Roll 2 tablespoons (30 ml) of the mixture into cylinders about 8 cm long and 3 cm thick (7.5 cm x 2.5 cm). Moistening your hands with water will help prevent the dough from sticking to your fingers. The surullitos may be kept refrigerated at this point, covered with plastic wrap or wax paper, for a day or two. When you are ready to fry the surullitos, heat the oil in a heavy skillet over high heat until the surface of the oil begins to shimmer (approx 180ºC , 180C). Fry the surullitos 4 or 5 at a time for about 5 minutes, turning them occasionally, until they are crisp and golden brown. Drain on paper towels. You may keep the surullitos warm by placing them on paper towels in a baking dish in an oven set on its lowest setting. Serve hot or at room temperature.

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