Yes, it's true - any kind of cheese can be used. If you want a mild lactic flavour use a Lancashire, or for something more assertive, how about a sharp Gorgonzola? Or, instead of Cheddar and parmesan, try Gruyere and parmesan.
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 forminutes. Then add the cheeses and whisk again, allowing them to melt. Then season with salt, freshly milled black pepper and some freshly grated nutmeg.