Scald the milk in a heavy saucepan over medium heat. Keep it warm over very low heat.
Melt the butter in a separate saucepan over low heat. When it's bubbling, add the flour and whisk until it forms a golden paste, about 3 to 4 minutes.
Whisking constantly, add the hot milk in a steady stream. Bring the milk to a gentle simmer and continue to whisk until the sauce thickens, about 10 minutes.
Whisk in the nutmeg and the cheese, and serve at once