In small saucepan combine mayonnaise, Worchestershire sauce, salt and pepper. Add milk gradually, stirring till smooth. Add cheese and cook over low heat, stirring constantly until cheese has melted and mixture is thick and smooth, about 5 minutes. Put two heaping tablespoons in the bottom of 4 baking (oval) cups. Break two eggs into each cup. Place in shallow pan; pour hot water into the pan to a depth of 1 inch. Bake in slow oven 325 degrees about 25 minutes.