Use a deep pan to melt the butter over low-medium heat.
Add the flour, whisking continuously to make a paste, and add the warmed milk in a steady stream.
Keep whisking to prevent the sauce from becoming lumpy. If the sauce still needs to thicken, boil over low heat while continuing to stir.
Remove the pan from the stove and stir in the salt, pepper, a pinch of nutmeg, and the grated cheese. Whisk quickly, season with salt to taste, and set aside while you assemble the dish.
