For the bechamel: In a large saucepan over medium heat, melt the butter and add the flour, whisking to make a paste. Whisk constantly for 2 minutes, allowing the mixture to bubble. Add the warm milk slowly, whisking constantly to avoid lumps. Once the sauce starts to come to a boil, reduce the heat to low and cook until thickened, about 10 minutes, whisking very frequently. Add the salt, pepper and nutmeg, and set aside.