When you make a sauce and use a starchy thickener, like a roux (butter and flour mix), you have to take care of one crucial thing that will prevent lumping of the starch - you need to heat the starch evenly. What happens then is that the starch granules will swell up at the same time and eventually burst and release the starch particles into the sauce and thicken it. But if you don't heat up the starch evenly then granules will become sticky on the outside and start to aggregate with other starches. So what you need to do, practically, is simple: add the hot liquid sauce to the roux at a slow rate and make sure to stir at all time. Cook up the sauce between each addition. If you still get some lumps then you can always strain the sauce through a fine sieve.