Melt the butter in a saucepan, then add the flour. Whisk well to form a smooth mixture, this is called a white roux. Make sure it doesn't brown.
Remove from the heat and gradually pour in the cold milk, whisking constantly to fully dissolve the mixture. If any lumps form, strain the sauce before returning it to the pan.
Place the pan back over medium heat and stir continuously until the sauce thickens. Once it starts to turn creamy, add the grated cheese, season with salt and pepper, and stir in a pinch of grated nutmeg.The béchamel should remain fairly fluid but thick enough to coat the back of a spoon. Pour a little of the béchamel sauce into the bottom of a baking dish. Arrange the filled cannelloni on top, then cover with the remaining béchamel.
Sprinkle with grated cheese.
Bake for 35 minutes, until the top is nicely golden.
Note: I used frozen grated cheese, which is why it didn’t fully melt.
Serve hot, with a green salad or any side of your choice.