Roast the peppers by placing them on an open gas flame, turning them frequently with tongs until all sides are charred black, about 7 to 10 minutes. (Alternately, the peppers can be roasted under a broiler, or on top of a gas or charcoal grill.) Place the blackened peppers in a plastic or paper bag, and let rest until cool enough to handle, about 15 minutes. Peel the peppers, split in half lengthwise, and discard the seeds and the stems. Roughly chop and set aside.

In a large pot, heat the oil over medium heat. Add the onions and cayenne cook, stirring, until very soft, about 6 minutes. Add the flour and stir until thickened, 1 to 2 minutes. Add the tomatoes and chopped chilies, and cook for 1 minute. Slowly add the milk or cream and stir until thick, 3 to 4 minutes. Add the cheeses and cook, stirring, until melted and well incorporated.

Remove from the heat and adjust the seasoning, to taste. Serve immediately with chips, or swirled into the Chili con Carne.