Rinse the fish and place the steaks in a well-buttered large baking dish. Season with salt and squeeze over the lemon juice. Add the milk and place a small nut of butter on each steak. Cover the dish with buttered paper, place in the centre of a moderate oven (180°C., 350°F., Gas Mark 4) and bake for 25–30 minutes, until the fish is white and flakes easily from the bone.
Meanwhile melt the butter for the sauce in a pan over low heat. Stir in the flour and cook gently for 1 minute. Gradually stir in the milk, beating in each addition well before adding the next. Bring up to the boil and simmer for 1–2 minutes. Season with salt and freshly milled pepper and add
Gently lift the skin away from the halibut steaks and lift the fish out on to a hot serving plate. Stir the blended egg yolk and cream into the sauce. Pour over the fish and top with the remaining grated cheese. Brown under a hot grill and serve.