Step 1 In a medium, heavy-bottom saucepan, heat the milk over medium heat just until bubbles appear around the edge. Reduce the heat and keep the milk warm over very low heat.
Step 2 Meanwhile, in a large, heavy-bottom saucepan, melt the butter over low heat. When it bubbles, whisk in the flour and continue to cook until the mixture forms a golden roux, 3 to 4 minutes.
Step 3Whisking constantly, add the warm milk in a steady stream. Bring the mixture to a gentle simmer and continue to whisk until the sauce thickens, about 10 minutes. Season to taste with one-half teaspoon salt and a few grinds of black pepper, along with the nutmeg, or to taste. Remove from heat and set aside until cooled. This makes about 2 cups sauce.