1. In a bowl of a stand mixer, or by hand using a fork mash the cheese.
2. Mix in the butter, heavy or sour cream, and egg yolk.
3. Stir in the flour, salt, chili powder, and thyme (if using), mixing until smooth.
4. Gather the dough into a disk, wrap it in plastic, and chill the dough for a few hours, until firm.
5. To bake the biscuits, preheat the oven to 400ºF (200ºC). Line two baking sheets with parchment paper or a silicone baking mat, or use non-stick baking sheets.
6. Roll the dough on a floured surface until about 1/4-inch (1/2 cm) thick. Use a cookie cutter (mine was 1 3/4″, 5cm, but you can use other sizes) to cut the biscuits, then set them evenly spaced apart on a baking sheet. Brush the tops with a bit of egg wash.
7. Bake the biscuits for 10 to 15 minutes, rotating the baking sheets midway during baking. When the biscuits have puffed a bit and the tops are well-browned, remove them from the oven and cool the trays on a wire rack.