Melt the fat in a saucepan over medium heat. Dust with flour and briefly sauté until colourless. Add milk and simmer for about 10 minutes at low heat. Grate cheese finely and stir into the sauce.
Season to taste with salt and pepper. Clean, wash and cut the leek sticks into 3 pieces. Blanch in boiling salted water for about 6 minutes and rinse. Wrap the leek sticks with a slice of ham around each and layer them in an ovenproof dish.
Pour sauce over it and bake in the preheated oven (electric cooker: 175 °C/ convection oven: 150 °C/ gas: level 2) for about 20 minutes.