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Cut the leeks into roughly 5cm pieces, then halve lengthways down the middle. Wash carefully to remove any grit, aiming to keep the leeks relatively intact.
Set a steamer basket over a pan of simmering water, add the leeks and steam for 8 minutes (see Make Ahead). Meanwhile, whisk together the cream, crème fraîche, cayenne and mustard in a bowl until completely combined. Season with salt and pepper.
Put a pan large enough to hold the cream mixture over a medium heat, then add the butter. When it’s melted, add the flour, cook for a minute, stirring to form a paste, then gradually add the milk until you have a smooth sauce. Remove from the heat, then whisk in the cream mixture, beating well until smooth.
Heat the oven to 150°C fan/gas 3½. Grease a medium ovenproof dish with oil. Arrange the leeks in the dish in a single layer, cut side up, then sprinkle with a third of the cheese. Pour the cream mixture evenly over the leeks, opening up the layers to ease the cream between them, then sprinkle with the rest of the cheese. Bake for 40 minutes until golden on top and the leeks are tender, covering with foil if they seem to be browning too fast.