Using a whisk, and continually whisking, add the milk in small quantities - about two tablespoons at a time. Make sure that you fully incorporate the liquid before adding more - this way you will get a smooth sauce.
After you've added about half the milk, pour in the rest and give the mixture a good whisking. Continue to heat the sauce on low to medium heat, whisking often. Cook just to below boiling until the mixture thickens.
Remove from heat and whisk in nutmeg, salt and pepper.