In a small bowl, whisk together egg yolks and cream until well blended. Set aside.
Melt butter in a saucepan over low heat. Stir in the egg yolk mixture and sherry. Cook, stirring constantly until the mixture thickens. Do not boil.
Remove from heat and season with salt, cayenne and nutmeg. Add the lobster. Reduce heat to low, return the pan and simmer gently until lobster is heated through. Serve hot over slices of buttered toast.