Melt butter or margarine with curry powder; stir in flour. Add milk all at once, cook and stir till bubbly. Cook and stir 2 minutes more Remove from heat. Stir in onion and mustard. Add ground ham and mix well. Cover and chill thoroughly, about one hour. With wet hands shape mixture into 10 balls Roll in bread crumbs and shape each ball into a cone. Dip into mixture of egg and water, roll again in crumbs. Fry a few at a time in hot fat/oil for 2-2 1/2 minutes or till golden brown. Drain and keep warm.
Make the sauce:
In a small saucepan melt the butter/margarine and stir in the flour, salt & pepper. Add the milk all at once and cook till thickened and bubbly. Cook and stir 2 minutes more. Add the cheeses; heat and stir till melted.