Position rack in center of oven, heat oven to 375 degrees F. Using a fork, pierce potatoes in several spots. Rub potatoes with oil to lightly coat. Bake until fork tender, about 45 minutes. Transfer to a wire rack to cool slightly.

Cut off the top quarter of the potatoes. Working over a medium bowl, use a spoon to scoop out potato flesh, leaving 1/3-inch thick shell. Mash potato pulp until smooth. Add cheese, milk, cream, butter, chives and cayenne. Season with salt and pepper. Mound mashed potato mixture in potato shells. Place on baking sheet and bake another 15-20 minutes, or until cheese is melted and potatoes are puffed and lightly browned.