The point is to mix in a starchy flour-like substance to a sauce, then heat it up to make the starches go glutinous... this can be done much easier by mixing the flour into a little bit of cold water - then stirring it into the sauce while the heat is on it.

If you prefer to thicken things this way, use cornstarch: that's exactly how you do it. The point of roux is partly to cook the flour so it doesn't taste so floury. (Although if you find you have to "madly stir" your butter and flour you may have the heat up too high.)