Put the cream, milk, bay, a sprig of thyme, the garlic and ¼ tsp freshly grated nutmeg in a saucepan, and bring to the boil. Take the pan off the heat and leave to infuse for 10 mins. Heat oven to 180C/160C fan/gas 4.
Grease a large baking dish with the butter, then layer up the butternut squash, adding seasoning and a few thyme leaves as you go. Pour over the infused cream, leaving the bay and thyme on the top.
Cover the dish with foil and bake for 30 mins. Uncover, press the squash as far under the level of the liquid as you can, then scatter with the cheese. Bake, uncovered, for 30 mins more until the butternut is tender and the whole dish is bubbling and golden. Let stand for 10 mins or so before serving.