Preheat the oven to 180°C. Grease an oven-proof dish with non-stick spray.
1. White sauce: Heat the onion, peppercorns, bay leaves and milk to just below the boil. Remove from the heat and cool. Strain and discard the solids.
2. In a separate saucepan melt the butter, then stir in the flour to form a smooth paste. Add the milk slowly, stirring continuously while bringing to the boil. Season with the nutmeg then add the cheese. Set aside.