Melt the butter in a saucepan with high sides then add the flour and whisk to form a roux. Cook the roux for a few minutes, then whisk in the milk, a little at a time, whisking well after each addition. When all the flour has been added, simmer the bechamel on low-medium heat for 10 minutes, whisking here and there to make sure it’s smooth. When the bechamel is nice and thick, whisk in the cheese, then season to taste with the nutmeg, salt and lemon zest. Allow the mixture to cool for a bit, covered, then, when it isn’t hot enough to cook eggs (roughly 110 F) whisk in the egg yolks. Reserve the bechamel, but don’t chill it.