First off, you need to make a roux. That’s just a fancy name for mixture of fat and flour that’s traditionally used to thicken sauces and stews.
Melt the butter in a saucepan, then stir in the flour.
Let it cook for 1-2 minutes, or until the flour is slightly browned.
Reduce the heat to low, and whisk in the milk.
Season with a pinch of nutmeg and a sprinkle of salt/pepper.
Continue to whisk and cook over low to medium heat, until the mixture is slightly thickened and smooth.
Add in the grated cheese, and melt & stir over low heat until everything is incorporated. Season to taste with paprika, mustard, and more salt, if desired.