In a saute pan over medium-high heat, toast pecans until slightly browned, shaking pan frequently to prevent nuts from burning, about 3-5 minutes. Add honey and cayenne pepper, stir until nuts are completely coated, and let simmer 3-4 minutes.
Remove pecans from the heat and spread them on a plate or a cookie sheet to cool.
Meanwhile, heat oil in a medium saute pan on medium-high. Add onions and saute, stirring frequently, until nicely caramelized, about 10 minutes.