Assemble the oignon pique by attaching the bay leaf to the onion using the cloves like staples.
In a heavy bottomed sauce pan, melt the butter over low heat until melted. Add in flour and stir until combined - cook for 1 Minute and then remove from the heat and let cool slightly.
While making your roux, scald the milk (180°F) in a separate pan. Gradually add it to the roux, whisking constantly to prevent any clumps
Over medium heat, bring the sauce to a boil, stirring constantly. About 10 Minutes. Reduce the heat to a simmer and add the oignon pique. Stirring occasionally, simmer for 30 Minutes or until the desired consistency is reached.
Remove the oignon pique, and strain the sauce through a sieve lined with cheesecloth. Season with salt, pepper, and nutmeg - being careful to not let these flavors dominate the sauce.
When stirring the sauce, be careful to not scrape the bottom of the pot in case anything has burned. This prevents the flavor from being released into the sauce.