Mix all rub ingredients in a bowl.
Take two boneless, skinless chicken breast (or one large one sliced in half), pat it dry with paper towels and roll it in the rub, coating the meat thoroughly. Set aside.
Startup grill and put on medium heat.
While grill is heating up, prepare and cook sauce.
In a medium-size saucepan, melt the butter over medium heat.
Once melted, whisk the flour in gradually, just until it begins to bubble around the edges.
Add in milk slowly by pouring while you are whisking.
Continue to whisk the sauce until completely heated through.
Once it is hot, BUT NOT BOILING, add the shredded cheese, a little at a time.
Whisk to incorporate the cheese, then add a little more.
Once all the cheese has been added and incorporated, stir in the paprika and cayenne pepper.
Season with salt and pepper.
Place a lid on the sauce and turn heat to the lowest setting.
Prepare and clean the grill.
Cook chicken until an internal temperature of 162º - 165º.
Tent with foil, on a plate and let chicken rest for 10 minutes.
Once it has rested, add chicken accumulated juices to your sauce.
Stir sauce to incorporate.
Drizzle sauce over chicken.
Serve over saffron or yellow rice. Steamed broccoli works well as a side-dish.