Rapid whisking of a sauce not only gives it a smooth consistency, but also allows it to be cooked over a higher heat so that it is less likely to form lumps. Rapid whisking also helps reduce the risk of sauce burning at the bottom of the pan.
For maximum effect and to avoid splashes on the sides of the pan, whisk in a figure eight motion, working round the sides of the pan and across the middle. From time to time, pass the whisk in a circle around the base of the pan to make sure no area has been missed.