1 Melt the butter in a pan over a medium heat and add the chopped onion and jamón serrano. Cook for a few minutes until the onion turns translucent but not coloured. Meanwhile, in a separate pan, bring the milk almost to boiling point and then set aside.
2 Add the flour to the onion and cook for 5 minutes, stirring, until the flour has toasted a bit. Add the hot milk little by little, whisking all the time, to make a thick roux. Keep going until you have added all the milk and you have a smooth and silky béchamel. When it comes back to the boil reduce the heat to low and add the nutmeg, salt and pepper. Leave to simmer for about 40 minutes, whisking to make sure it doesn’t stick to the bottom of the pan. Taste and adjust the seasoning if necessary.
3 Line the bottom of a baking tray with baking parchment and then pour the béchamel into the baking tray. Spread it out and then immediately place a layer of cling film directly on top, making sure the cling film is touching the surface of the béchamel as this will stop a skin from forming. Transfer to the fridge to chill completely.
4 After 3 hours the béchamel should be firm enough to handle. Peel off the cling film, turn the béchamel out on to a floured surface and carefully peel away the baking parchment. Sprinkle with a little more flour and use a knife to cut the béchamel into strips and then small squares, about 4 cm square. Dust your hands with flour and roll these little squares into balls between your hands.
5 Beat the egg in a bowl and spread the breadcrumbs out on a plate. Dip each ball in the egg and then roll in the breadcrumbs before placing on a clean plate. You can chill these in the fridge at this point if you want to cook them later (or freeze them for next time).
6 Heat the oil in a large deep pan until it reaches 180°C. If you don’t have a thermometer you can check whether the oil is ready by dropping a small square of bread into the oil – it should turn golden in about 30 seconds. Fry the croquetas in small batches until they are golden and crisp (this should take about 1½ minutes). Remove and drain on kitchen paper while you cook the rest.