Twist off the lobster legs and reserve. Remove and discard the lobster heads; remove the intestinal veins from the tails. Remove the meat from the tails and cut into bite-size pieces. Rinse and dry the shells.
Preheat the griller. Melt the butter over medium heat in a frying pan. Add the mushrooms and shallots or onion and cook, stirring occasionally, for 3 minutes. Remove from the heat. Add the lobster meat and set aside.
In a medium saucepan, whisk the cream with the flour, mustard, salt and cayenne pepper. Add the milk and cook on medium heat, whisking constantly, for 8 minutes, or until the sauce is thick and bubbling. Slowly stir about 1/2 cup of sauce into the egg yolks, then return this mixture to the saucepan. Cook the mixture, whisking constantly, for 3 minutes, or until it thickens (do not boil).
Stir in the lobster, mushroom mixture and dry sherry and heat through. Spoon the hot lobster mixture into the shells. Sprinkle the Parmesan cheese over the top and grill for 2–3 minutes, or until the cheese is melted and lightly browned. Serve immediately, garnished with the lobster legs.