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1. In a large bowl beat butter with an electric mixer on medium to high speed for 30 seconds. Add sugar, cocoa powder, cinnamon, salt, and cayenne pepper. Beat until combined, scraping bowl occasionally. Beat in egg and vanilla until combined. Beat in as much of the flour as you can with the mixer. Using a wooden spoon, stir in any remaining flour.
2. Divide dough in half; cover and chill for 1 hour or until dough is easy to handle.
3. Shape each portion of dough into a 6-inch-long roll about 1-3/4 inches in diameter. Wrap rolls in plastic wrap or waxed paper, and chill about 4 hours or until dough is firm enough to slice.
4. Preheat oven to 325 degrees F. Line cookie sheets with parchment paper. Cut rolls into 1/4-inch-thick slices. Place slices 1 inch apart on prepared cookie sheets.
5. Bake for 12 to 14 minutes or until edges are firm. Cool on cookie sheets for 2 minutes. Transfer cookies to a wire rack; cool.
6. Spread dulce de leche on the bottom sides of half the cookies, using a rounded tablespoon of dulce de leche on each cookie. Top with remaining cookies, bottom sides down, pressing together lightly to make sandwiches.