This is my question, too. I'm not a fan of Stilton (or any blue cheese/really strong cheese) so can't say how well it might melt into a soup; I've never cooked with it. But my first thought was to do something like:
saute/sweat the leeks and celery in a bit of butter & olive oil. I'd suggest maybe Herbs de Provence here, too; I think they'd be nice. I'd also suggest some potatoes, maybe, if you're looking to add something to give it more substance?
Then add your stock, and simmer for a bit, then add cream and blend well, and simmer for a bit.
Again, I don't know if here you'd add cubes/crumbles of Stilton and let them melt in, or if you'd like to do something like a French Onion soup, where you pop croutons on the top, cover them with cheese, and stick it under the broiler to melt it? Or, yeah, like a cheesy dumpling?