Combine milk and flour in a large saucepan over medium heat. Bring to a boil, whisking constantly. Reduce heat to low and simmer 3-5 minutes, until mixture is thick, continuing to whisk. Remove from heat and whisk in cheese about ¼ cup at a time. Season with salt and pepper or cayenne. Yes, it's really thick right now, but don't panic! Adding the broccoli and baking will thin the sauce significantly, so err on the salty side--I used ½ teaspoon. Fold in broccoli florets.
Cut four pieces of puff pastry to fit tops of ramekins OR simply cut the pastry sheet into four equal squares. Cut an X in the middle of each piece of puff pastry to vent steam.
Divide broccoli cheese mixture into four ramekins that have been sprayed with cooking spray or an oil mister. Top each with puff pastry. Brush puff pastry with egg wash. Bake for 12-14 minutes or until puff pastry is puffy and golden brown.
To steam the broccoli, place in steamer basket over an inch or two of boiling water; cover and steam for 5 minutes. I baked the pot pies in 3 ½-inch ramekins.