Melt the butter in a small saucepan over medium-high heat and whisk in the flour. Continue whisking 2-3 minutes but do not let it brown. Whisk in hot milk until very thick, about 2-3 minutes. Remove from heat and whisk in the salt, nutmeg and cayenne (if using). Whisk in the egg yolks one at a time. Transfer the mixture to a large mixing bowl, cover and let cool to room temperature.