Prepare the grill. Soak the corn in the husks in cold water for 10 minutes. Drain the corn and grill on a rack set 5-6 inches about the glowing coals until husks are charred, about 10 minutes. I have a gas grill and it worked well.

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.