Preheat your oven to 400 degrees.
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.
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.
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!)