Preheat your oven to 400° and line a rimmed baking sheet with foil, parchment paper or a Silpat.
In a large bowl combine the pound of ground lamb with the feta cheese, Greek yogurt, minced cilantro, ground cumin, kosher salt and cayenne pepper and mix by hand. Be careful not to over mix.
Use a tablespoon to measure a heaping tablespoon of the ground lamb mixture and roll, by hand into round meatballs.
Place each meatball onto a rimmed baking sheet spacing them an inch or two apart and bake for 18-20 minutes. Rotate the pan halfway through the baking time to ensure even cooking.
Remove and let cook for 5 minutes and then insert toothpicks and serve.