Bring 5cm/2in depth of water to the boil in a saucepan, add the cauliflower and cook for about 8 minutes, or until tender. Drain, and return the cauliflower to the pan.
Mix the cream cheese and mustard with the cauliflower, then stir in the blue cheese. Season with a little salt if necessary and plenty of pepper.
Pour the mixture into a shallow gratin dish. Scatter the walnuts on top, then cover with the cheddar (this helps to prevent the walnuts from burning). Place under a preheated hot grill for 10-15 minutes, or until the top is golden brown and the inside hot and bubbling.