Melt butter in a saucepan over medium heat. Gently cook onions, without colouring, until tender, about 5 minutes. Stir in crumbled Stilton, stirring constantly until melted, 3 to 4 minutes.
Add flour to cheese mixture and stir until combined, about 2 to 3 minutes. Gradually whisk in stock; add bay leaf, salt and pepper. Bring to the boil; reduce heat and simmer for 20 minutes. Stir in cream just before serving.