In large ovenproof skillet, heat oil over medium heat until it shimmers, about 1 minute. Add flour; quickly beat with whisk until it comes together. Cook and stir 1 minute. Gradually add milk, beating constantly with whisk until smooth. Heat sauce to boiling. Reduce heat to simmer; cook 5 minutes. At the same time, beat in cheese. Once mixture has thickened, cook about 5 minutes longer.