Melt the butter in a non-stick saucepan and stir in the flour. Cook over a low heat for 30 seconds, stirring constantly. Slowly add the beer. Simmer for 2-3 minutes, stirring constantly until the sauce is thick and smooth.
Add the cheese, egg yolk, mustard, Worcestershire sauce and cayenne pepper, if using. Cook until the cheese melts, stirring constantly. Season with freshly ground black pepper and set aside to cool.
Place the bread on a baking tray lined with aluminium foil and toast on each side until golden-brown. Spread the cheese sauce thickly over the bread, making sure the slices are completely covered so the edges don’t burn. Return to the grill for 20-30 seconds longer until lightly browned and bubbling.