Blend the starch (tapioca, potato, or arrowroot) with the water to an even smooth blend in a small cup. Add it to the simmering mixture. Whisk in the mustard, Worcestershire, cayenne, salt and pepper. The mixture should be thick and smooth but not sticky. If it is too thin, remove a half cup of mixture to a small dish and add a half teaspoon more starch. Blend to thicken, then add this back to the pot, and stir steadily on medium high heat until it thickens.