Heat the oven to 200ºC/180ºC/Gas 6. Melt the butter and whisk in the flour. Season well, then add the nutmeg.
Slowly whisk in the milk on a medium heat. Add the bay leaf and cook for a few minutes until thickened. Mix in the cheese, potato and ham and stir well. Leave for five minutes to infuse.
Remove the bay leaf and spread the mixture out into an even rectangle on a cling film lined oven tray.
Score into 16 rectangles. Take each rectangle, roll into a short, fat sausage and roll through the breadcrumbs. Repeat until finished.
Remove the clingfilm from the baking tray, spray the croquettes with a little cooking oil and cook for 8-10 minutes until warmed through. Don’t cook for too long or they will start to spread and collapse. Serve warm with a spicy tomato salsa on the side.