Melt the butter in a saucepan and stir in the flour. Gradually add the cream, stirring with a wire whisk. When the mixture is thickened and smooth, add salt and pepper to taste and the nutmeg. Remove from the heat and stir in the cheese. When cheese is blended, let sauce cool slightly.
Add a little of the sauce to the egg yolks, then blend this mixture with the sauce. Use for vegetables or fish or for dishes that are to be glazed under the broiler just before serving.