Do you not have flour of any kind, depending on how you want to use the sauce will determine if you need a roux based sauce.
If you want a pouring consistency I'd sweat the leeks in a knob of butter until softened, add some stock and reduce for depth of flavour then add the cream and reduce a little, remove from the heat and add the cheese, stirring until incorporated, season to taste.
You can make a sauce by warming single cream and adding the cheese, grated. You can then add the cooked leeks, mustard or whatever you would normally do. No stock.