Preheat the oven to 350° and line a baking sheet with parchment paper. In a large, wide saucepan, combine the walnuts, sugar and water and bring to a boil. Add the sesame seeds, cayenne and salt and cook over moderate heat, stirring constantly, until the water is nearly evaporated, about 4 minutes. Lower the heat and cook, stirring constantly, until the walnuts are golden brown and sandy, about 4 minutes longer.
Immediately pour the walnuts onto the prepared baking sheet and spread in a single layer. Bake for about 20 minutes, until the nuts are deeply golden and covered with a sandy coating. Let the walnuts cool completely. Break any large clusters apart; transfer to a bowl to serve.