Preheat oven to 350℉. In a large sauce pan, heat reserved bacon fat. Add flour and stir to combine. Cook over medium heat for 1 minute stirring often. Add 1 cup hot milk, continue to whisk until smooth and the mixture starts to bubble. Whisk in another cup of hot milk and whisk until smooth. Add remaining milk, whisk until smooth and allow to come to a boil. Reduce heat to medium low and simmer for 10 minutes, stirring often. Whisk in dry mustard, salt, Worcestershire sauce, thyme, white pepper, cayenne and nutmeg.