For the béchamel, slowly add the warmed milk to the butter/flour mixture. The key is that the milk must be warm, otherwise you will get too many clumps. (I put it in the microwave for 2 minutes in a microwave-safe cup.) Keep whisking the milk into the flour mixture. The mixture should seem relatively thin. Add the nutmeg, salt and bay leaf. Once it starts to bubble, reduce to low heat. Dont leave it alone for too long, as it will thicken quickly. If you want to add some grated parmesan cheese, now would be the time.