Heat the milk in a saucepan to just below boiling point, then remove the pan from the heat.
Melt the butter in another saucepan, then add the flour and stir well to combine.
Add approximately a quarter of the milk and keep stirring until the sauce thickens. Repeat the process until you have a velvety, smooth sauce with no lumps.
Season with salt, pepper and nutmeg to taste.
Simmer the sauce on a medium-low heat for 15 minutes, stirring occasionally with a balloon whisk to ensure a creamy texture.