Preheat your grill to medium-high heat. (see note). Roast the corn on the grill until somewhat charred on all sides. Remove the corn from the grill and allow to cool so that you can handle it
Once cooled, cut the corn kernels from the cob and set them aside.
In a medium mixing bowl, whisk together the cream cheese and mayo together until smooth.
Stir in the cayenne pepper and cotija cheese.
Fold in the corn kernels and chopped cilantro.
Transfer the dip to a serving bowl and place in the fridge until ready to serve, up to 1 day in advance. Garnish with more cilantro and lime wedges if desired.
Notes
If you don't have a grill available, you can cook the corn on the stove. Pour 3 cups of corn kernels into a dry pan over medium-high heat. Stir occasionally so that the kernels darken.