Preheat oven to 375 degrees F. Butter a two-quart gratin or casserole dish, set aside. In a large saucepan, melt butter over medium high heat. Whisk in flour and cook and whisk for 3 minutes. Stir in shallots and sprig of thyme. Slowly whisk in milk and then cambozola cheese, nutmeg, cayenne, salt and pepper. Taste for seasoning.
Make a layer of baguette slices in the bottom of the buttered gratin dish. Top that with blanched and squeezed-dry mustard greens. Pour milk mixture all over the top. Bake for 45 minutes until bubbling.