1.Melt the butter in a saucepan over medium high heat. Add the flour and stir until a paste forms.
2.Add half the milk and whisk until the sauce thickens - around 1 minute.
3.Add the remaining milk, Dijon mustard, nutmeg, salt and pepper. Keep whisking because once the milk heats up, it thickens very quickly. Whisk until the sauce is thick enough to coat the spoon thickly (around 1½ to 2 minutes), around the consistency of tomato ketchup.
4.Remove from heat and let cool for 5 minutes. The sauce will thicken considerably as it cools. Then stir the cheese in.