In a medium sauce pan, heat the milk over medium heat until you see bubbles forming at the top.
Meanwhile, melt the butter in another saucepan over medium heat.
Sprinkle the flour over the top, stirring constantly until a thick paste forms, 1 to 2 minutes.
Slowly add the warm milk to the flour and butter paste in a steady stream, whisking constantly.
Continue cooking, whisking constantly until the mixture thickens, about 5 minutes. It should be thick but still pourable.
Add the cheese, whisking constantly until it is melted.
Add the hot sauce and cayenne.
Stir in the broccoli and bacon.
Taste, then add salt and pepper to taste.
Add more cayenne and/or hot sauce if preferred.
If the mixture is too thick, you can add a little bit more milk until desired consistency.
Spoon hot cheese sauce over baked potatoes and serve immediately.