Heat the oven to 190°C (Gas Mark 5 / 375°F).
Remove the green leaves from the cauliflower, and cut off the end of the thick stalk, until you’re left with just the white head. Wash the cauliflower thoroughly and, once mostly dry, rub it lightly with oil. Place in a baking dish and cover with foil. Bake for around 30 minutes.
Melt the butter in a small saucepan over a fairly low heat. Add the flour and cook, stirring constantly, for 1 minute. Add the milk a little at a time, stirring until smooth each time before adding more. Allow to cook over a fairly low heat for a couple more minutes, until the sauce has thickened slightly, then add two thirds of the cheese, and mix until smooth. Season with a pinch of nutmeg and plenty of salt and black pepper.
Remove the cauliflower from the baking dish, and drain away any liquid.
Pour the cheese sauce into the baking dish, and replace the cauliflower on top. Add more salt and pepper if desired, then place in the oven, uncovered. Roast for a further 30 minutes, until slightly browned on top. Then, sprinkle over the remaining cheese, and return to the oven for 15 more minutes, until the cheese topping has melted and begun to crisp up.