Preheat the oven to 350 degrees F.
Bring the milk, butter, salt and cayenne to a boil in a small saucepan. Remove from the heat.
Place the flour in a large bowl. Add the hot liquid and stir well with a heavy wooden spoon until it comes together and forms a ball. Add the eggs 1 at a time, stirring well after the addition of each. Stir until the dough is satiny. Stir in the cheese and mix until dough is thick and cheese has mostly melted. Transfer to a pastry bag fitted with a medium plain tip.
Pipe the dough in small mounds onto the prepared sheets. Bake until golden brown and puffed about 3 times their original size, 20 to 25 minutes. (Do NOT open the oven door for the first 10 to 15 minutes to keep them from deflating.)
Remove from the oven and let cool slightly.
With a paring knife, cut the top from each gougere, leaving either attached slightly (like a hinge), or remove. Pipe about 1 1/2 teaspoons of the mousse into the center of each gougeres and replace the tops.
Arrange the mousse-filled gougeres on a platter, garnish with cornichons and chervil and serve.
Yield: about 4 1/2 dozen