Preheat oven to 350°F.
In a large skillet, heat olive oil over medium-high heat. Add the diced onion and sauté until softened, about 5 minutes. Add in the ground beef and garlic and cook until the meat is no longer pink about 8-10 minutes. Stir in the bay leaf, tomato paste, diced tomatoes, oregano, Worcester sauce, and red wine. Bring to a simmer and reduce heat to low. Simmer for about 10 minutes or until the mixture is thickened and cooked through. Add salt and pepper to taste.
In a separate pan, heat milk over medium-high heat until steaming but not boiling. Whisk in the flour and butter until smooth. Reduce heat to low and whisk in the cheddar cheese, parmesan cheese, and nutmeg. Cook until the mixture thickens, about 5 minutes.
Spoon a small layer of sauce onto the bottom of an oven-safe baking dish. Place lasagna sheets on top of the sauce. Layer with half of the beef mixture, followed by half of the cheese sauce. Repeat layers until all ingredients are used. Bake in preheated oven for 30 minutes, or until lasagna is golden and bubbly.
Allow to cool before serving with your favorite vegetables and/or salad.