Heat 3 tablespoons of the butter in a small saucepan over medium heat. Add the flour and stir constantly until a paste (roux) forms. Continue to stir and cook for another minute, until the flour is cooked. Remove from the heat and set aside.

Place the remaining 2 tablespoons of butter in a medium saucepan over medium heat. Add the onion and sauté until golden, about 2 minutes. Add 2 tablespoons of water to the pan and then add the mushrooms. Salt lightly, reduce the heat, and cover. Let the pan sit over the heat for about 10 minutes.

Remove the lid and add the milk, cream, pepper, and thyme. Increase the heat and bring almost to a boil -- when bubbles form around the edge of the pan. Stirring, add all of the butter-flour mixture to the milk. Add the Marsala or sherry and stir with a whisk over medium heat until the soup thickens, 3 to 4 minutes. Adjust for salt. Ladle the soup into bowls and sprinkle a little of the cheese over the top, if desired. Serve immediately.

This recipe yields 4 servings.