Warm cream over med.-low heat in sm. heavy-bottomed saucepan w/ pouring lip; do not boil. Melt butter over low heat in med. heavy-bottomed saucepan.
Meanwhile, make onion piqué: Use cloves to tack bay leaf to cut side of onion half.
Once butter is melted, stir in flour until fully blended. Do not brown. (This is your roux.)
Stir warm cream into roux. Stir in chicken stock.
Add onion piqué cut side down. Increase heat to med. Bring to low boil, stirring frequently.
Reduce heat to low. Remove onion piqué. Gradually whisk in cheese until melted. Whisk in nutmeg, salt, and pepper. Continue cooking 4-5 min. until sauce thickens, stirring frequently. Use as desired.