In a small heavy-bottom saucepan, combine the milk, onion, bay leaf and nutmeg (if using). Bring the mixture to a simmer and cook for 15 minutes for the flavors to infuse. Remove the onion and bay leaf; keep warm.

In a separate heavy-bottom saucepan over low heat, melt the butter. Stir in the flour and cook, stirring occasionally, until fragrant and lightly golden in color. Increase the heat to medium-high and slowly whisk in warm milk. Bring the sauce to a simmer, whisking to prevent lumps, and cook for 5-7 minutes until thickened to a cream-like consistency. Strain the sauce through a fine-meshed sieve to remove any lumps; season with salt to taste. Place a piece of plastic wrap over the sauce to prevent a skin from forming. Cover and refrigerate until ready to use. Sauce can be made up to three days in advance. Enjoy!