Melt the butter in a double-boiler on top of the stove.
In a small bowl, whisk together the egg yolks, lemon juice, and cayenne pepper. When the butter has melted, whisk the egg mixture into the melted butter, stirring constantly and cooking until the sauce starts to thicken.
Season to taste with sea salt. Remove the double boiler from the heat and keep the sauce warm over the hot water.