Did you thicken it with cornflour or granules? If so it wont retain a thick consistentency for very long. You have to make a proper base sauce with plain flour and margerine and milk.
Melt 1oz marg in saucepan, add a tablespoon of sifted flour and mix toghther to form a thick paste (roux) and cook over low heat for 3 mins constantly stirring. Do not allow to burn. Have 3/4 pint of milk slightly warmed in the microwave ready in a jug and add in small quantities to your flour, still over the heat, stirring in and mixing thoroughly to avoid lumps, gradually add all the milk, and bring gently to the boil, stirring all the time, then reduce heat,and continue stirring until thick. Stirr in your grated cheese and 1/2 a teaspoon of english mustard (optional)
and there you will have a cheese sauce which will stay thick upon reheating.