Alternative method: I find the above method is practically fool-proof. But if you prefer not to dirty an extra saucepan and are fairly skilled in the kitchen, could can skip Step 2 and as for Step 3, add cold milk, not all at once, but in a thin stream, as you whisk the roux vigorously. This, in fact, is the method you will find specified in most Italian recipe books. While it is less trouble, you do need a fair degree of skill (and a strong arm) to avoid lumps.