Place a medium saucepan over a moderate heat and add the unsalted butter. Allow it to melt.
Add the plain flour and whisk constantly for about 1 minute, until a smooth, pale roux forms.
Gradually whisk in the whole milk and double cream to prevent any lumps forming.
Bring the sauce to a gentle simmer over a moderate heat, whisking regularly, until it thickens enough to coat the back of a spoon, about 3-5 minutes.
Reduce the heat to low, then add the crumbled gorgonzola and stir continuously until it has fully melted and the sauce is smooth.
Season with 1/4 teaspoon salt, a pinch of freshly ground black pepper and a pinch of ground nutmeg (optional). Taste and adjust the seasoning.
Serve immediately with pasta, steak or vegetables.