Start by melting the butter over medium heat in a pan, add the finely chopped onion and sauté until it is tender and translucent. Add the flour to the butter and onions and start stirring.
Then cook the mixture of butter, flour and onions for a few minutes while stirring. This ensures that the sauce will not taste like flour, it must cook before adding the milk. This step is called making a roux. The roux will serve to thicken the milk and make a nice, smooth sauce.
Finally, add the milk and a pinch of nutmeg, whisking constantly with the whisk. Keep a medium-high heat. Bubbles will form in the sauce, but be careful, if you stop whisking, your sauce will have chunks!
When the consistency of the sauce becomes thick and creamy, remove the pan from the heat and add the salt and pepper. It’s ready!