whole wheat flour will work fine. your sauce might have a bit less glowing yellow to it, and a bit more of a rustic brown thing going on, and it'll taste a bit more whole wheat-ish, but it's actually very nice when sauces are made with a brown 'white' sauce based roux. we used to make cauliflower cheese like this when i was a kid- much nicer than the white flour version, in my opinion!
purrpelle: a roux is basically a swanky french word for flour and fat mixed together, to start a sauce. so for this kinda sauce, you'd melt butter/margarine in a pan on meduim heat, add some flour, stir it till it goes thick and mixes in (takes a few seconds) to make the roux, then slowly water (usually with milk) it down, while whisking/stirring it, then heat till it thickens. its way easier than adding flour to hot milk and then trying to get the frikkin' lumps out with the help of a seive while cursing loudly, lol.