In a saucepan over a medium heat, melt the margarine then sprinkle in the flour. Cook and stir for about a minute until golden brown. Gradually add the milk, whisking constantly, until the sauce thickens. Add the cheese and stir until melted. Stir through the diced chicken, season and serve.
If you do not have Stilton cheese, or prefer a milder blue, feel free to substitute with a different blue cheese.