Heat oven to 375. Melt 2 TB margarine, blend in flour and cook over medium heat until smooth and bubbly. Gradually add milk, cook until mixture boils and thickens stirring constantly. Boil 1 minute. Add cheeses, salt, cayenne, and nutmeg. Stir until cheese is melted and set aside. In medium skillet, brown sausage, drain, stir in eggs and thyme. Cook over medium heat until eggs are set. Stir in cheese sauce and cool completely.
Unroll phyllo sheets and brush 1 sheet with melted margarine, keeping others covered, sprinkle with bread crumbs and fold in half lengthwise, brush with more margarine. Place ½ cup of filling at the bottom of the short side. Turn up edge, fold in sides and roll up. Place seam side down on ungreased cookie sheet. Repeat with other 4 sheets, brush tops with melted margarine and sprinkle with topping. Bake for 15 minutes or until crisp and light brown.