In a small saucepan, melt the butter over low heat, then add the flour. Stir constantly with a wooden spoon to cook the flour for about 3 to 4 minutes, but do not brown it. Slowly add the hot milk to the mixture. Now whisk over the heat constantly to incorporate. The sauce will thicken. Remove from the heat and add the salt, pepper, nutmeg, cayenne, Gruyere and Parmesan. Stir to incorporate and set aside.