Step 1Prepare the blue cheese sauce. Add butter, cream, cream cheese and crumbled blue cheese to a small sauce pan. Gently heat up over a medium-low heat. Stir with a hand whisk until smooth and creamy. Cook for 3 to 5 minutes (longer for a thicker sauce). If it gets too thick, add 1 to 2 tablespoons of water. Remove from the heat and keep warm.