Combine first 4 ingredients in a heavy saucepan; cook over medium-high heat to 180° or until tiny bubbles form around edge (do not boil). Remove from heat. Cover; let stand 10 minutes. Strain mixture through a sieve into a bowl; discard solids. Set aside.
Melt margarine in saucepan over medium heat. Add flour, stirring with a whisk until blended. Cook 1 minute, stirring constantly. Gradually add milk mixture; cook over medium-low heat 5 minutes or until thick. Stir in salt, pepper, and nutmeg.