In a medium saucepan, melt the butter over medium heat. Add the flour and whisk until smooth, about 2 minutes. Gradually add the warm milk, whisking constantly, until the sauce is thick, smooth, and creamy, about 10 minutes (do not allow the sauce to boil). Remove from the heat and stir in the salt, pepper, and nutmeg. (The sauce can be made up to 3 days ahead. Cool and then cover and refrigerate.)