Melt butter in a heavy saucepan over low heat; add flour, stirring until smooth. Cook 1 minute, stirring constantly. Gradually add milk; cook over medium heat, stirring constantly, until mixture thickens. Stir in wine, cheese, Worcestershire sauce, hot sauce, salt, and pepper; continue cooking over medium heat just until cheese melts and mixture is well blended.
Note: Casserole may be assembled 1 day in advance. Cover and refrigerate overnight. Let casserole come to room temperature before baking.