1. Place butter in a small saucepan over medium-low heat. Add onion and next 3 ingredients (through prosciutto) to pan, and cook 10 minutes (do not brown), stirring occasionally. Sprinkle flour over onion mixture, and cook 2 minutes, stirring constantly.
2. Gradually add milk to flour mixture, stirring with a whisk until smooth. Add herbs and bay leaf; bring to a simmer. Simmer 10 minutes or until thickened, stirring frequently. Strain mixture through a fine sieve over a bowl; discard solids. Stir in salt, pepper, and nutmeg, if desired.