Step 1: Preheat your oven to 400 degrees.
Step 2: Once your asparagus are cleaned and the tough bottom of the stem has been removed lay out on a foil lined baking sheet. Sprinkle with your olive oil, rolling the asparagus back and forth to get mostly covered. Sprinkle with just a little salt. (not to much – the prosciutto will add a lot) Take the asparagus three at a time and wrap them in a slice of prosciutto. Lay back on the foil lined pan then place in the oven and cook for about 10 minutes.
Step 3: In the meantime you can make the sauce. Melt the butter over moderate heat, add the flour slowly, whisking together. Let cook for about 3-4 minutes. It will take on a nutty aroma. Then add the milk, a little at a time and whisk until smooth.
Step 4: Let cook for about 10 minutes, stirring frequently. While mixture is cooking, cut the cheese into small chunks. Add the cut up cheese, season with salt & pepper and a dash or two of Tabasco. Keep warm until ready to serve with asparagus. (And try not to drink it all before then!)