Step 1: In a saucepan over medium heat melt 3 tablespoons of the butter; stir in finely chopped onion and saute until soft (5-10 minutes).
Step 2: Stir in thyme sprig, bay leaf and nutmeg. Stir in flour and cook for 1 minute, stirring constantly. Whisk in 2 cups milk and bring to a boil; whisking constantly. Season with salt and pepper. ***sauce can be made one day ahead, covered and refrigerated.
Step 3: In a skillet over medium high heat melt 3 tablespoons butter and add thinly sliced onion and cook until onion turn color and are softened (8-10 minutes). Reduce heat to medium low and cook until onions are golden brown, stirring frequently (30 minutes). ***Onions can be prepared one day ahead, covered and refrigerated.
Step 4: Preheat oven to 450 degrees F.
Step 5: Line a rimmed baking sheet with foil and place a rack on the baking sheet.
Step 6: Place bread slices on rack; spread 1 tablespoon of the sauce over each bread slice. Scatter 2 tablespoons of the caramelized onions over the sauce. Sprinkle with 1/4 cup of cheese and then one once (2 slices) of the ham. Spread with 2 tablespoons of the sauce over the ham and sprinkle with 1/3 cup of the cheese.
Step 7: Bake sandwiches for 10 minutes or until cheese is brown.
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