Using a stand mixer or a bowl, a spatula, and your biceps, mix together the cream cheese, blue cheese, dates, and cayenne, if using. Roll the mixture into balls a little smaller than an inch in diameter, place on a platter, cover with plastic wrap, and refrigerate for at least 2 hours and up to overnight.
Just before serving, roll the balls in the chopped pecans, making certain they're evenly coated. Insert a pretzel stick in each cheese ball and plop them on a platter.
Notes
Blue cheese--Use a blue cheese that you enjoy, but not one that is too strong. Danish blue, Maytag, and Roquefort are all good choices.
Toasting pecans--Toast the pecans in a skillet on a stovetop until slightly darkened and fragrant. This should only take a few minutes.
Make in advance--The cheese mixture can be prepared and rolled into balls up to 1 day before serving. Store, loosely covered, in the fridge until just before serving.