Put the butter in a pan over a low heat and, when melted, add the flour. Mix to a thick roux and cook, stirring, for 2 minutes, then beat in the milk. Continue to cook, stirring hard, until the mixture comes away from the sides of the pan in a coherent mass.
Remove from the heat and season with salt, pepper and nutmeg to taste. Mix in the grated cheese, then beat in the yolks of 2 of th