Put sauce pan over low heat and add the flour and butter or olive oil. Stir constantly to completely coat the flour particles with the fat. This is called a roux, it is a great thickener for sauces. 

Continue to stir the roux constantly. Once the roux starts to brown add the milk or cream slowly and continue to stir.

Once the milk or cream is completely incorporated, add the cheese and stir the cheese until it is completely melted.  Serve immediately.