Melt the butter in saucepan over a medium heat and stir until completely melted. Add in the Parmesan and Cheddar cheeses and continue to stir until melted. Add vegetable oil, Italian herbs, chilli powder and salt and pepper.
Gradually whisk in the milk and bring to the boil over a high heat. Sprinkle in the flour and whisk until lump free. Use a wooden spoon to stir over a medium heat until mixture becomes thick. Remove from the heat and use, or allow to cool before storing in the fridge for up to 3 days.