fill saucepan with water. Set bowl (glass/stainless steel) over pan, without bottom touching water (alternately, a double broiler will work too). Bring water to a simmer.
Add cream, yolks, lemon juice, mustard and cayenne to bowl. Whisk well.
Cook mixture, whisking constantly, until thick enough to to coat back of spoon. Temperature should reach 160F (70C)
Reduce heat to low (very low), then drizzle in butter, whisking constantly.
Remove from heat, season with salt and pepper to taste. Cover to keep warm.