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I made my cheese sauce with pre-shredded cheese (first problem I know), milk and butter. I tried to make a roux but without the flour I think I made it fail.

To make the cheese sauce, I put milk and butter in a pot and brought it to a boil. When it frothed, I mixed in the cheese, then stirred it every so often.

When I took it off the heat, the cheese was separated, with a milk and butter mix at the top. I strained it over my pasta and it was in chunks. (I'm keeping the milk and butter mix for my next cooking adventure, but I'm not sure what yet.)

Where did I go wrong, and what can I do for next time? I'm trying to keep it relatively cheap. I thought doing homemade would be more cost-effective than buying Velveeta or a million boxes of macaroni and cheese.

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I know it seems that mac 'n cheese should be a simple thing for a beginner cook to make. It isn't. Without a solid recipe, even experienced cooks can royally screw up mac 'n cheese. Generally it starts with a bechamel, also known as a white sauce. You're right, that starts with a roux which requires flour, or at least some kind of starch. Once you've got a good white sauce, then you add the shredded cheese. You're right again, pre-shredded cheese is not a good idea. Pre-shredded cheese is covered with cellulose so it doesn't clump up in the bag. That doesn't make for smooth melting.

Alton Brown's stovetop recipe is about as simple as homemade mac 'n cheese gets. I would recommend mastering this then moving on to (written and highly rated) recipes that start with a bechamel. And grate your own cheese. AB's Stovetop Mac 'n Cheese.

EDIT: One more thing - Cheese sauce for mac 'n cheese is one application for which high quality (read that "expensive") cheese may not be your best choice. High quality, expensive cheeses tend to be aged, making them melt with a texture you might consider grainy. Some people go so far as to use (gasp) American cheese or even (double gasp) Velveeta for smooth melting. I'm not sure that I'd recommend going that far except for pre-teen palates. For me a happy medium (so to speak) is store-brand medium cheddar. AB's recipe calls for sharp cheddar, but he has other ingredients that ameliorate potential graininess.

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A sort of cheaty way to make a smooth cheese sauce is to melt cheese into evaporated milk. The reduced water content of the milk helps keep it smoother and more emulsified. I usually pour all but 2 tablespoons of the milk into a pan, heat it up, whisk in the cheese until it's completely melted. I then add some starch to the saved milk and make a slurry to thicken the sauce (if needed).

I've also made a roux with butter and flour and used the evaporated milk, and that works as well.

Another key to keep in mind is that not all cheeses will melt equally. Cheeses with lower water contents can become grainy and greasy in a sauce, so you're better off using softer cheeses (or using less of harder cheeses).

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The starch in a cheese sauce is not just for thickening; it also helps maintain the emulsion of the cheese, keeping the sauce smooth and creamy.

Without resorting to modernist cuisine methods (sodium citrate), your best approach would be to make a traditional bechemel sauce (roux, cream), and then add in shredded cheese.

You should find countless recipes by googling cheese sauce recipe.

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Sodium citrate. It's not some crazy scientific chemical, you have it in plenty of other foods. I've made and messed up a lot of mac and cheese in my day and sodium citrate is the way to go. This page is very helpful.

If you don't have some on hand mix a bit of vinegar and baking soda together until they no longer react and add a bit at a time of that solution until consistency and texture is to your liking.

Just be careful when using it at first because it can make your sauce seem bitter and or salty. I would not suggest using strong IPA if you're doing a beer cheese sauce - I speak from experience.

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