For the Mornay sauce: In a small saucepan melt the butter. Add the flour to the butter to form a paste and cook for 1-2 minutes stirring constantly. Pour the hot milk into the flour mixture and cook for about 3-5 minutes or until sauce has thickened and coats the back of the spoon. Remove mixture from the heat and add the salt, pepper, nutmeg, Parmesan, and Gruyere cheese. Stir to combine. Set aside the Mornay sauce.