Cut the top of the squash off. Not too little and not too much. Start with a very thin slice and if that's not enough cut another slice. You want to be able to get in there with a spoon to clean it out.
Use a spoon to scoop out the seeds and membranes. When the squash is hollowed out, use your fingers and coat the inside with olive oil. Sprinkle with salt & pepper.
Place the the bottom of the squash in a ramekin (otherwise it will fall over) and place it in a 400 degrees F oven and bake for 30-40 minutes or until a fork can be easily inserted into the flesh of the squash.
Use a fork to from the sides of the squash. Carefully scrape the sides and the bottom to loosen the flesh of the squash. Don't scrape out everything; the squash needs to keep some of it rigidity to serve as a 'container' to hold the fondue.
Fill the squash with the grated cheese and wine, mix with the squash flesh and place it back into the oven (400 degrees F) for another 10-20 minutes.
Check every now and then and stir, until all the cheese is melted and hot.
Add salt and pepper to taste and nutmeg (optional)
Notes
Instead of using a fork, you can use a hand mixer for this task. Just use one beater and carefully scrape the sides and the bottom to loosen the meat of the squash.