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Melt the butter in a pan and stir in the flour to make a thick paste.
Gradually stir in the milk until you have a smooth sauce. Simmer for 10-15 minutes. Add the cheese and stir until melted, then stir in the chorizo and season really well. Scoop into a tray or dish, cool, then chill completely in the fridge. (This can take 2-3 hours, or you could do it the day before.)
Put the egg on one plate and breadcrumbs on another. Scoop out large teaspoonfuls of the mix and roll each into a ball about 3cm across. Roll the balls in the egg then the crumbs. Repeat so you have a double layer of egg and breadcrumbs.
Fill a pan 1/3 full with oil and heat to 180C (or until a cube of bread browns in 30 seconds), then deep fry the balls in batches for 2-3 minutes until golden. Scoop out and drain on kitchen paper.