In the basin of a food processor, pulse together the cheese, butter, egg, and hot sauce until light and fluffy (it should look like cheese frosting!).
In a small mixing bowl, whisk together the flour, paprika, dry mustard, and salt. Add the dry ingredients to the food processor in two additions, pulsing to combine after each. Continue pulsing until the dough comes together and forms a ball.
If using a cookie press:
Roll ¼ of the dough into a log the size of the cookie press barrel. Fill the barrel with the dough, and fit the press with the straw die. Press the trigger to get out any air bubbles.
Press long straws of the dough onto an ungreased cookie sheet. Sprinkle chopped almonds over top of straws (being careful not to spill too many on the cookie sheet—they will burn in the oven) and press lightly to stick.
Using a sharp knife, cut the long straw into 6-inch pieces. Bake in preheated oven for 5-7 minutes, or until the straws are golden brown. Let cool for 3-5 minutes on the baking sheet, then transfer to a wire rack to cool completely. Repeat with remaining dough.
If rolling out the dough:
Divide the dough into two discs, wrap in plastic wrap, and chill for 30 minutes. Remove one disc from the fridge, and roll out on a piece of parchment paper until ¼" thick.
Using a sharp knife or a pizza cutter, cut the dough into ½" x 6" pieces. Sprinkle the chopped almonds on top, and press lightly to stick.
Transfer the parchment paper to a baking sheet, and bake in preheated oven for 5-7 minutes, or until the straws are golden brown. Let cool for 3-5 minutes on the baking sheet, then transfer to a wire rack to cool completely. Repeat with remaining dough.
Notes
For the best cheesy flavor and texture, make sure to shred your own extra sharp cheddar cheese. Pre-shredded cheeses have additives that help keep the cheese from sticking together—great for keeping the cheese sprinkle-able, but not so great for cooking with.
Because of the high heat of the oven, any almonds not on the straws, but still on the baking sheet will probably burn in the oven. Make sure to try to remove as much of the excess chopped almonds as you can before baking. The best way I've found to do this is to shake the extra almonds off (like you're using glitter) after pressing the almonds into the straws. Just turn the baking sheet on a 45° angle, and gently shake so almonds fall to the bottom, then scoop them out. Or, just leave them on the sheet and let them burn—they won't impact the taste of the straws (although the might smell up your kitchen!).