In a saucepan over medium heat, add the red curry paste and coconut milk. Stir to combine and heat until simmer.
Add the peanut butter, dark brown sugar, fish sauce, and cayenne pepper. Stir to combine.
Simmer the sauce for approximately 5 minutes, stirring often, allowing the sauce to thicken. Add additional cayenne to taste if more heat is desired.
Remove from the heat and allow the sauce to sit for 3 minutes. Serve the sauce warm.