All you do is place the milk, flour, butter and cayenne pepper into a medium saucepan and place it over a gentle heat. Then, using a balloon whisk, begin to whisk while bringing it to a gentle simmer. Whisk continually until you have a smooth, glossy sauce, and simmer very gently for 10 minutes. Then add the cheeses and whisk again, allowing them to melt. Then season with salt, freshly milled black pepper and some freshly grated nutmeg.