1. In a large saucepan, saute shallots in butter over medium heat until translucent, without browning, 3 to 5 minutes.

2. Season with salt, pepper, nutmeg, and cayenne. Mix; reduce heat as much as possible.

3. Add flour in thirds, whisking constantly. When fully incorporated, cook without browning, 3 to 5 minutes, until floury taste is gone.

4. Add milk in thirds, whisking constantly. Texture should be thick with no lumps. Add bay leaf; continue to cook 7 to 10 minutes.

5. Strain through a sieve; add cheese while bechamel is still hot. Adjust seasoning to taste. Place plastic wrap directly on surface of sauce, and refrigerate up to three days.