TO MAKE THE CORNBREAD: Preheat oven to 375°. Butter an 8 x 8-inch pan. In a medium bowl, combine Cornbread & Muffin Mix, sugar, milk, eggs, melted butter, and cayenne.
Pour batter into prepared pan, and bake for 24 to 28 minutes, until top is cracked, edges are golden brown, and a toothpick inserted near the center comes out clean. Cool completely.
Run a small offset spatula or butter knife around the edges of the cornbread, then turn pan over onto cutting board to remove cornbread from pan. To make even cubes, first cut whole cornbread into quarters, then each quarter in half, then cut each piece into ½-inch to 1-inch cubes.
Allow to dry out in one layer on 13 x 18-inch sheet pan for a day or two, or dry in 200° oven for about 1 to 2 hours, gently tossing a couple of times. Cubes should be dry on the outside, but not all the way through.
TO MAKE THE STUFFING: Preheat oven to 375°. Generously butter 8.5 x 11-inch or 9 x 13-inch baking pan.
In a large pan, fry bacon until crisp. Remove bacon from pan and set aside. Remove all but 2 tablespoons bacon grease from pan and add butter, onion, and celery; sauté until golden, about 8 to 10 minutes. Add apples, walnuts, thyme, sage, salt, pepper, and cayenne, and cook until apples soften, about 4 to 5 minutes.
Toss cornbread cubes gently in a large bowl with the eggs. Add sautéed apple mixture and bacon, and toss gently again. Add broth evenly over the top and toss again until completely distributed and starting to meld together.
Put stuffing into prepared pan and cover with foil. Bake for 40 minutes. Remove foil and bake until top is golden, about 15 minutes longer.
NOTE: If you do not want to use eggs for the stuffing, increase chicken broth to 1½ cups.
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