In a medium saucepan, saute onion in butter until tender. Stir in the mustard, salt and cayenne pepper; cook 1 minute longer.
Stir in the ketchup, vinegar, sugar, Worcestershire sauce and mustard. Bring to a boil. Reduce heat; simmer, uncovered, until desired consistency, 10-15 minutes. Cool.
Store in an airtight container in the refrigerator up to 1 month. Use as a basting sauce for grilled meats.
