On occasion I will smoke habaneros, using 2 hours of pecan. I either will cut them in half, or make 4 to 6 slits in each one to help moisture to escape. With cayenne's, I don't think you will have to bother with that step. I use the cold smoker setup, and try to keep the cabinet around 140°F-150°F. I frequently monitor them, and rotated the racks. Not all of them dried at the same time; so I would pick the dried ones off the rack when they were ready. I can't recall how long the entire process took. One time I transferred them to my oven; which has a dehydrator setting.
I generally store them as is, and reconstitute or grind only those that I need at any given time, using a burr coffee grinder dedicated to grinding herbs and spices. You may not want to grind them all at once, and only grind what you think you may use in the next year or so, and store the others in an air tight container. It would also be wise not to grind them inside your house. I find roasting the dried peppers in a dry skillet just before grinding, helps them grind better.