Heat oven to 400°F. Coat 2 baking sheets with nonstick cooking spray.
In bowl, whisk together flour, baking powder, salt, baking soda and cayenne. Cut in shortening until consistency of coarse crumbs. Stir in cheese and thyme. Stir in buttermilk until dough comes together.
Place dough on floured surface. Knead a few times if necessary to bring together; do not overwork. Form into thick disk; let rest 5 minutes.
Roll dough out to 1/2-inch thickness. Using 3-inch fluted biscuit cutter, cut out biscuits. Reroll scraps; cut for total of 18 biscuits. Place biscuits, at least 2 inches apart, on prepared sheets.
Bake in 400°F oven 16 to 18 minutes or until lightly browned. Makes 18 biscuits.