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Preheat the oven to 400° F.
Make a roux by melting butter and blending in flour, salt and cayenne pepper. Add milk all at once. Cook over medium heat until mixture thickens and bubbles. Remove from heat. Add cheese and stir until cheese is melted.(This is now a cheese sauce)
Beat egg yolks in a separate bowl until thick and lemon colored. Slowly add yolks to cheese mixture stirring constantly. Reserve, cover, and keep warm.
Sauté sausage until brown add onion and mushrooms and continue cooking until onions are slightly brown.
Place equal amounts of the sausage mixture in the bottom or four 1 1/4 cup ramekins
Beat egg whites to stiff peaks and fold into the cheese sauce.
Place egg white and cheese sauce mixture on the sausage mixture in the Ramekins equally.
Bake in a Bay Marie 15 to 20 minutes until top hat is light brown.