Shuck the corn and grill for another 10 minutes until the kernels are browned in spots. While the corn is grilling, in a small bowl whisk together the mayonnaise, cayenne and salt. Using the small holes on a four-sided grater, grate the cheese, or just crumble the cheese with your hands. Brush the mayonnaise mixture onto the hot corn and sprinkle with the cheese. Serve corn on the cob with lime wedges.