Mix the olive oil and the flour together in a small bowl until you have a grainy paste. This paste is called a "roux" as it will help thicken a sauce as it cooks. Some people like it thicker than others and start with 1/1 olive oil to flour ratio. I use less flour here yet my sauce ends up thick enough, especially if you will add it to a dish that will bake further in the oven.

Put a sauce pot over a medium flame. Add the roux mixture into the heated pot and stir. Continue until it starts boiling (small bubbles) (2-3 minutes).

Add cold milk (see notes) and whisk the ingredients together making sure it is smooth. Continue stirring from time to time until the milk begins to boil gently (small bubbles on the edges.

Add the salt, pepper and nutmeg to taste.

Reduce heat to low flame and continue heating the mixture in the pot until you reach the thickness that you like. Remember it will thicken further when you add the cheese and even more if you use this sauce in a casserole that will cook more time in the oven.

Remove the pot from the stove. Add the grated cheese and stir until melted and the sauce is smooth.

Adjust seasoning and use.