In a small bowl, use a small rubber spatula to mix the mayonnaise, mustard, lemon juice, salt, pepper, dill, and (if using) cayenne.
Fold in the pickles and capers.
Cover and refrigerate for 30 minutes to allow the flavors to meld.
Video
Notes
You can use the sauce immediately, but it's even better to let it rest for 30 minutes before serving it. This allows the flavors to meld and improves the flavor.This sauce keeps well, though not as long as a commercial sauce. You can keep it in the fridge, in an airtight container, for up to 7 days. Stir it again before using it.I don't recommend freezing this sauce. It will separate and become grainy after thawing.