Program the ESP with firmware that speaks cayenne.
Program it with the AT command firmware and command it with an arduino
through the serial port.
Both ways are detailed on the forum.
When I have time, I have been asked to make better howtos on connecting the
myriad ESP devices, but I only volunteer here. My day job designing control
systems keeps me pretty busy
If you don't find the answers by searching the forum, I'll likely get
around to some documentation this Saturday. Sunday, I'm brewing beer!