Preheat the oven to 350?F. Grease a 2-quart casserole with 2 tablespoons butter.
Combine the remaining 1/4 cup butter, water, and salt in a heavy medium saucepan over medium heat. When the mixture comes to a simmer, add the grits, stirring, until thoroughly combined. Continue to cook the grits at a simmer, stirring frequently, until thickened, about 15 minutes.
Meanwhile, whisk together the egg, cream, and black pepper. Stir into the cooked grits along with the cheeses. Pour the mixture into the prepared casserole and smooth the top. Bake until set, about 45 minutes. Remove from the oven and let stand for about 5 minutes before serving.
Makes 6 servings