Melt butter in top of a double boiler over simmering water; add flour, stirring until smooth. Cook 1 minute, stirring constantly. Gradually add whipping cream; cook over boiling water, stirring constantly, until mixture thickens. Stir in salt, paprika, and nutmeg.

Stir a small amount of hot mixture into yolks; return yolk mixture to remaining hot mixture. Continue to cook over boiling water until mixture is thickened and bubbly. Stir in lobster and sherry. Spoon evenly into patty shells.