Preheat oven to 400 degrees F. lightly coat 2 baking sheets with non-stick cooking spray or line with parchment paper. In a small bowl, whisk together egg white, oil, salt and cayenne, if used.
Lay a sheet of phyllo on a work surface with the short side toward you. Keep remaining phyllo sheets covered with a plastic wrap or waxed paper. With a pastry brush, lightly coat the lower half of sheet with the egg-white mixture and sprinkle with about 2 tsp. cheese.
Fold the upper half over the lower half. Brush the right half of the folded sheet with egg-whit mixture, sprinkle with a heaping teaspoon of cheese and fold left half over the cheese.
Brush the bottom half of the folded sheet with the egg-white mixture, sprinkle with 1 tsp cheese and fold the upper half over lower half. Finally brush the top with the egg-whit mixture and sprinkle with 1 tsp. cheese.
Cut into ten 1/2-inch strips using a knife or a serrated pastry cutter. With a wide spatula, transfer the strips to the prepared baking sheet, placing them about 1/2 inch apart. repeat the procedure with the remaining 5 sheets of phyllo, egg-whites and cheese.
Bake the straws for 8 to 10 minutes, or until golden and crisp.
Transfer to a rack to cool. Makes 5 dozen straws.
Note: The straws may be stored in an airtight container at room temperature for 1 week or the freezer for up to 2 months.
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