Combine GF flour mix, guar gum, baking powder, salt, and cayenne pepper in a large bowl. Mix well. Rub in butter, shredded cheese, and bacon. Mix in milk to form a soft dough. Shape into 2 logs about 1½ inches in diameter. Wrap with plastic and refrigerate for 30 minutes.
Pre-heat oven to 375°F (190°C). Slice dough logs into ¼-inch thick slices. Place on lightly greased baking sheet and bake for 15 minutes or until golden brown. Cool on wire rack.