Mix together the cayenne, black pepper, and salt in a small bowl. Sprinkle the mixture all over the chicken wings. Place the wing in the refrigerator until ready to use. (This can be done the night before.)
Melt butter in small saucepan over low heat. Whisk in the rest of the sauce ingredients until combined. Remove from heat and set aside.
Light a chimney 3/4 full of charcoal. When charcoal is fully lit and covered in gray ash, pour coals out and arrange them on one side of the charcoal grate, keeping the other side empty. Place the wings over the cool side of the grill, cover, and cook until skins are lightly browned, about 8 minutes. Move the wings to the hot side of the grill and continue to cook until the skins have crisped, about 2-3 minutes. Remove the wings to a bowl. Pour the sauce over the wings and toss to coat evenly. Remove wings to a plate and serve hot.