Melt butter in a heavy saucepan over medium low heat, add onions and sweat until transluscent and just beginning to turn golden, about 10 minutes.
Add flour, salt and pepper, stirring and heating for about 2-3 minutes more, until thickened.
Add beef broth, and bring to a boil, about 2 minutes.
Add cream, cheese and worcestershire sauce, and simmer for about 5-10 minutes more, until onions are very soft and cheese is melted. Adjust seasonings as desired.