Pierce each quartered and peeled onion with a clove, then place them in a saucepan along with the bay leaves and milk.
Bring this mixture to a boil, remove the pan from the heat, cover it, and let it steep for approximately 10 minutes.
Using a slotted spoon, carefully remove the onion and bay leaves from the milk, and discard them.
Add the breadcrumbs to the milk, and return the pan to a boil, while stirring continuously. Allow it to simmer for 1–2 minutes.
Add the cream and butter into the mixture, followed by seasoning with salt, pepper, and freshly grated nutmeg to your taste. Serve this sauce piping hot.