Preheat the oven to 140°c. Half fill a roasting tin with boiling water and place in the oven.
Place the milk, nutmeg and bay leaf into a saucepan and bring to the boil. Remove and leave to cool so the flavours can infuse.
Meanwhile melt the butter in a saucepan, remove from the heat and stir in the flour until smooth. Return to the heat and stir, allowing the flour to cook slightly. The flour will sizzle around the edges. Remove from the heat.
Remove the bay leaf from the milk and gradually stir into the flour and butter mixture until you have a lump-free liquid. Return to the heat and heat gently until thickened to a sauce consistency and remove from the heat.
Lightly grease four ramekins and sprinkle a little grated cheese in them. Separate the eggs carefully. Stir the remaining cheese into the sauce mixture and add the egg yolks. Stir thoroughly.
Beat the egg whites until they form stiff peaks, taking care not to over-beat. Beat one third of the egg white into the mixture and slowly fold in the remaining egg white mixture using a metal spoon.
Put the mixture into the ramekins, fill to the top and then run a damp finger around the inside of the rim. This helps them to rise. Remove the tray from the oven and place the ramekins inside, ensuring that the water is halfway up the sides of the ramekins.
Bake for 15-20 minutes until lightly brown.