That's the trick to getting spices to adhere to nuts. If you are worried about the messiness perhaps your method can be improved. Put your nuts into a tossing bowl and slowly drizzle the oil over them. If tossing is a technique you are skilled with you can do that, but I'm guessing it's not, in which case you can stir with a spoon. It won't take much oil, maybe two tablespoons per pound. Maybe less. Then toss nuts again while sprinkling with cayenne. Or spread on a tray and sprinkle with cayenne there.
Lastly, if you are still struggling with the oily mess. Try enclosing in a sealable container and shaking. The oil will distribute and the mess will be contained.