In a large, heavy-bottomed (I use cast iron) skillet over medium-high heat, brown the sausage, crumbling it up into small bits. Use a slotted spoon to remove the cooked sausage to a bowl, leaving behind the grease and any brown bits that stuck to the skillet.
Add flour and combine, cook until flour smell dissipates and is slightly brown.
When the roux turns brown, slowly add in the milk, whisking constantly until the mixture thickens. Add the salt, nutmeg, cayenne, and pepper and continue to mix well.
Remove from heat and stir in the cooked sausage. If the mixture is too thick you can whisk in some more milk.
Serve immediately over freshly baked hot biscuits.