At the end.
The roux (Butter, flour and milk) need to combine first before any flavorings are added. Also as the cheese melts, it will thicken the mixture. if the mixture has not yet combined you will end up with lumps of cheesy flour.
You can melt Bleu Cheese with milk or cream on top of the stove. Go slow! Or you can melt it on top of a burger using a broiler!
I know you can get it in Ohio. At least in the Cleveland area. (just got a brick to take home to NJ (5/23/08 ;-)