Making a blue cheese sauce is extremely simple as it's simply a white sauce composed of Butter, milk or cream (it does not matter as the water content evaporates off during the heating process) and a starch to act as a thickening agent.
It's just the same for herb sauces (such as Parsley for fish & gammon dishes).
The difference is mainly that cheeses have much higher fat contents then herbs causing a certain "stickiness" in the pan which is why you lob it in right at the very end of the process and cut the heat as soon as it melts in or earlier if you want tasty lumps.
I love blue cheeses but think of it more as a winter thing as it's very fatty. I've tried (with some success) to make blue cheeses more appealing in the summer months. You can try this with a Greek salad variant on: Black olives feta and tomatoes. As a starter, Mix red peppers with the chopped tomatoes to give more "crunch". Cube up Roquefort blue cheese to replace the Greek Feta. Add pitted black olives, fresh basil & garlic chives.
Supplement from 10/14/2007 06:50pm:
Don't forget to use fresh lime juice to counteract the cheese!