Preheat oven to 400 F. Butter 4 round 4 ½ inch ramekins or a 9 inch round glass dish.
In a small bowl, mix bread crumbs, parmesan cheese and melted butter. Set aside.
Bring a large pot of water to a boil. Boil pierogi and stir occasionally for 5 minutes. Drain and set aside.
In a medium saucepan melt butter over medium heat. Whisk in the flour and continue to stir for two to three minutes. The mixture should be creamy free of lumps.
Gradually add the milk, whisking briskly to maintain a smooth sauce.
Cook the sauce for about 5-6 minutes, stirring occasionally to avoid scorching.
When sauce thickens, add cheeses, salt, cayenne and nutmeg to the sauce, and stir until all the cheese has melted.
Add pierogi to cheese sauce and stir gently until completely incorporated. The mixture should be fairly saucy.
Dish the pierogi into the buttered pans and sprinkle with the panko bread crumb mixture. Bake, uncovered, for 20-25 minutes, until bubbly and golden brown.