Melt butter in a large, heavy saucepan over low heat; add onion, and cook until tender. Add flour, stirring until smooth. Cook 1 minute, stirring constantly. Gradually add broth; cook over medium heat, stirring constantly, until thickened and bubbly. Stir in mustard, salt, pepper, and chicken. Add egg yolks. Cook over medium heat, stirring constantly, 3 to 5 minutes. Remove from heat, and chill mixture thoroughly. Stir in sherry.
Shape mixture into croquettes, and roll in cracker crumbs. Deep fry croquettes in hot oil (375°) until golden brown. Drain on paper towels.