Preheat oven to 180 degrees C. Cut off top 1/2 cm of each garlic head and peel off any loose outside layers – but leave a layer of skin on the outside. Place in a small, shallow baking dish. Drizzle the olive oil over the heads. Bake in preheated oven until done, about 45 minutes. Cool slightly. Press individual garlic cloves between thumb and finger to release. Chop garlic.
Melt butter or margarine in heavy large saucepan over medium heat. Add the garlic, leeks and onion; saute until onion is translucent, about 8 minutes. Add flour and cook 10 minutes, stirring occasionally. Stir in hot stock and sherry. Simmer 20 minutes, stirring occasionally. Cool slightly.
Puree soup in batches in a blender or food processor.
Return soup to saucepan, and add cream. Simmer until thickened, about 10 minutes. Add lemon juice to taste. Season with salt and white pepper. Ladle into bowls. Garnish with chives.