Bring 1 inch of water to a boil. Salt it and cook asparagus 2-3 minutes. Cold shock, drain and reserve.
Heat oven to 400°F.
Place ham in a food processor with onion, garlic, chili, mustard, Worcestershire, hot sauce, paprika, parsley and thyme. Pulse process into finely chopped Deviled Ham.
Heat butter in medium skillet or saucepan over medium heat. Whisk in flour, cook for 1 minute. Whisk in milk, raise heat a bit, and season with salt, pepper and a little nutmeg. Thicken to coat spoon, adjust seasonings and stir in half of the total amount of each of the cheeses.