Gently melt the butter in a saucepan (non-stick is easier). Don't let it sizzle.
Add the flour, salt, and white pepper (black pepper at a push, but you'll be able to see black specks in the sauce).
Stir, over gentle heat, with a wooden spoon for a few minutes to let the flour cook and to amalgamate everything. If you don't cook it long enough at this stage, the sauce will taste floury.
Add a little milk to the flour and butter mix (you have now made a roux) and stir again. When it is amalgamated, add a little more milk and mix again. Add more milk, little by little, until you have a thickish creamy sauce. Cook the sauce for 5 minutes over gentle heat, stirring to stop it sticking. If you get lumps, press them with the wooden spoon against the side of the pan to mash them. If you need to, use a whisk, but be careful not to scratch a non-stick pan. Taste and adjust for seasoning.
For a richer sauce, add a little hot sauce to a raw egg yolk in a cup, mix well, then reintroduce into the main sauce.