In a large bowl, whisk together the flour, baking powder, salt, and cayenne pepper.
Add the cold cubed butter and rub it into the flour with your fingers or a pastry blender until the mixture resembles coarse breadcrumbs.
Stir in the grated cheddar, reserving a little for topping.
Gradually add the milk, stirring just until a soft dough forms. Don't overwork it.
Turn the dough out onto a lightly floured surface and knead gently a few times to bring it together.
Roll or pat the dough to about 3/4 inch thick. Cut into rounds with a cutter or knife.
Preheat the air fryer to 350°F (175°C) for a few minutes.
Lightly brush the basket with oil or line with parchment cut to size.
Arrange the scones in a single layer with space between each. Cook in batches if needed.
Brush the tops with milk or beaten egg, then sprinkle on the reserved cheddar.
Air fry at 350°F (175°C) for 12–15 minutes, until risen and golden brown. Check at 12 minutes.
Let cool a few minutes and serve warm with butter, cream cheese, or your favorite spread.