Place egg yolks, softened and cubed cream cheese and cayenne in blender. Cover. Blend at low speed just until cream cheese is nearly smooth, about 5 seconds.
Combine lemon juice and melted butter. Heat until almost boiling. Turn blender on high. Slowly pour in lemon-butter mixture. Blend until it is thick and fluffy, about 30 seconds.
Heat over warm water (not hot) in a double boiler until ready to serve. If you don't have a double boiler use a cup for hollandaise to set in bowl of warm water.