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Heat oven to 200C/180C fan/gas 6. Toss the cabbage wedges and brussels sprouts with the oil, garlic and thyme in a large gratin dish. Season well, then roast for 25 mins.
Meanwhile, melt the butter in a saucepan. Stir in the flour and cook for a couple of mins until it begins to turn golden. Remove from the heat then, whisking constantly, gradually pour in the sherry, followed by the milk and cream. Put the sauce back on the heat and cook for 3-4 mins, whisking constantly, until you have a thick sauce. Grate in a generous amount of nutmeg, season well and set aside. Mix the breadcrumbs with the cheese.
Take the sprouts and cabbage out of the oven, pour over the sauce and top with the cheesy breadcrumbs. Can be made a day ahead, and then reheated. Heat grill to 200C and grill the gratin for 15 mins until the top is golden and crisp. Leave to stand for 5 mins before serving.