Preheat oven to 350 degrees Fahrenheit and line two baking sheets with parchment paper.

In a mixing bowl, combine the softened butter and peanut butter. Stir well until smooth.

Add the egg, light brown sugar, cayenne pepper, vanilla, and milk. Stir to combine.

Separately combine the all-purpose flour, sea salt, and baking soda. Then pour the flour mix into the peanut butter mix. Stir until fully combined.

Add the chopped salted peanuts to the peanut butter mix. Stir to combine.

Roll the dough into balls (about 2 tablespoons of dough per ball), then place the cookie dough balls onto the parchment lined baking sheets. The dough balls should be approximately two inches apart.

Using a fork to create a crisscross pattern, flatten the tops of the cookies. Slightly coat the fork with flour each time to keep the dough from sticking to the fork.

Put the baking sheets in the oven and bake the cookies for 10 minutes (the cookie edges should be lightly brown).

Remove the cookies from the oven and transfer them to a wire rack to allow them to cool.