In a medium sized saucepan, melt the butter over medium heat.
Whisk in flour and cook until it begins to just bubble around the edges
Add in the milk, slowly, whisking to combine as you pour
Continue to whisk until it is heated through. Hot enough to melt the cheese, but not boiling
When the milk is hot, start whisking in the cheese in small amounts at a time until all of the cheese has been mixed in.
Once the cheese is melted, stir in paprika and cayenne. Season with salt if needed. Serve over chicken.