The base of the sauce is a roux. Melt the butter in a cooking pot and add the flour.
Allow the flour mixture to dry while stirring, but make sure the roux does not stick. As soon as you smell a delicious biscuit smell, pour the milk into the pot. Continue to stir patiently with a whisk until the sauce binds.
After stirring for a sufficiently long time, you get a smooth bechamel sauce. (Avoid too thick a sauce. To dilute the sauce, add some extra milk.) Remove the pot from the heat and mix the ground cheese into the sauce. (Keep a portion of cheese aside for finishing.)
Add a dash of lemon juice. Season the sauce to taste with pepper, salt and nutmeg.
Notes
For an extra shiny sauce, you can stir in an egg yolk.