Yes, and I've wasted a lot of cheese and other ingredients in the process, lol. Initially I never realized that otherwise good quality aged cheeses happen to not melt very well. I always saw cooks on television make a basic bechamel sauce, then simply melt the cheese into it, then viola they had a cheese sauce for their mac and cheese. Every time I would try this, the sauce not only tasted really bland and flavorless, but the cheese itself would separate and result in a grainy and greasy sauce which was not appetizing at all.
There are a number of recommendations as to how to get around this, but the best one in my opinion is to simply include a few slices of plain old processed American cheese in with your other cheeses (assuming you're making a cheddar based sauce). There is something about the way the American cheese is processed that causes the other cheeses to emulsify much better into the bechamel sauce and not become grainy. This is also why many people use Velveeta, either on it's own, or add some to their "from scratch" cheese sauces. Some folks are using sodium citrate, not to be confused with citric acid, but it's hard to find in stores and you usually have to order it online. It works remarkably well too, but it can impart a salty metallic taste if you use too much.
Another tip would be to not heat the bechamel too much when adding the cheese - if the sauce gets too hot while the cheese is melting into it, the proteins in the cheese will seize up and leave you with a grainy sauce. I usually bring the bechamel to a bubble then take it off the heat and then stir in the cheese gently until it's incorporated. Try not to over mix as well, the cheese will melt on it's own.
