Preheat your oven to 350°F. Lightly grease a 1.5-quart baking dish with butter or non-stick spray.
In a small saucepan over medium heat, melt the butter. Once melted, whisk in the flour until smooth to create a roux.
Gradually add the milk to the roux, whisking constantly to prevent lumps. Season with salt and a dash of cayenne pepper.
Continue to cook the sauce on low heat, stirring frequently, until it thickens and comes to a gentle boil.