Heat the milk in a heavy based saucepan with the bay leaves, onion slices, black peppercorns, the celery and the crushed nutmeg, until bubbles form at the side of the saucepan (do not stir). Remove from heat and let stand for 20 minutes.
Strain the milk into a bowl and keep warm to one side. Wipe out the saucepan and return to the stove top, add the butter and melt over a low heat. Stir in flour. Stir for 1-2 minutes.
Remove from heat and let cool a little, then add the strained milk and stir until smooth.
Return to a medium heat and bring to a boil stirring constantly. Lower heat and continue to cook for about 5 minutes stirring frequently, making sure the sauce is not sticking to the bottom. Season with salt, white pepper & nutmeg.