Step 1Melt the butter in a saucepan and whisk in the flour. Cook them gently for 5 to 8 minutes. In a separate small pan, scald the half-and-half and whipping cream. Remove the roux from the heat and cool slightly before whisking in the scalded creams. Transfer the sauce to a double boiler and season it lightly with salt, a dash of nutmeg and black pepper. Cover and cook slowly for about 1 hour, stirring occasionally. Allow to cool slightly before adding the rest of the ingredients.
Step 2Heat the oven to 450 degrees. Generously butter a 12-inch oval casserole or 6 (6-inch) shallow gratin dishes.
Step 3Stir the egg yolks into the sauce, then add the goat cheese; season with a dash of cayenne. Put the remaining 2 ounces of crumbled cheese on top of the mixture and sprinkle with black pepper.
Step 4Beat the egg whites until stiff and fold into the cheese mixture. The mixture should be fairly loose, but not runny. Pour the souffle mixture gently into the casserole or gratin dishes. Sprinkle the dried thyme lightly over the top and bake on the top shelf of the oven until the top and sides are well-browned and the inside warm and creamy, 15 to 17 minutes.