Cheese sauce begins as a classic bechamel -- milk thickened by flour that has been browned in melted butter. In order to thicken a cheese sauce, you must return to the bechamel base. This can be done in a few ways depending on what's in your pantry and how quickly you need the sauce to come together.
This is the easiest way to thicken your cheese sauce without the risk of altering the flavor. Turn the heat up to medium and simmer, stirring constantly, until the sauce thickens.
Make a new bechamel sauce in a separate pot. Once thickened, add the new bechamel sauce to the milky cheese sauce, and simmer until combined and desired thickness is achieved.
You may want to add more cheese for this method.
Flour or cornstarch can both thicken a liquid. In a small separate bowl, mix a tablespoon of either flour or cornstarch with 2 tablespoons of cheese sauce until the mixture is smooth. Add the mixture back to the milky cheese sauce, and stir until combined and desired thickness is achieved.
With any method, if the sauce becomes too thick while simmering, reduce the heat to low and add milk one tablespoon at a time while stirring until desired thickness is achieved.