Preheat oven to 350°F (and take out anything that you store in it.)
In a medium-sized bowl, whisk together bourbon, vanilla extract, and the egg white until the egg white is a little bit frothy.
Mix in pecans and be sure they are fully coated in the egg/bourbon mixture.
In a separate bowl, combine sugar, cayenne, and salt.
Combine the sugar mixture with the pecan/egg/bourbon mixture and make sure that the pecans are fully coated with sugar.
Spread the pecans out onto a lined baking sheet.
Now, this is important - drop the temperature of the oven to 250°F - then bake the pecans for 10 minutes.
After 10 minutes, stir the pecans, then set them back in the oven for 10 more minutes.
Stir the pecans one more time and cook for 10 more minutes (for a total of 30 minutes.) You will notice the pecans will start off wet and sticky and will gradually dry out a little and the sugar will crystallize.
After the 30 minutes is up, the pecans should be almost all crystallized-looking (see photos for a better idea of what this means.) Basically, the sugar will lighten up and get nice and crunchy.
Let the pecans cool, then either serve them immediately or move them to an air-tight container for storage.