Melt butter in top of a double boiler over hot water. Add onion, salt, and pepper; stir well. Stir in flour, mixing well. Add crab meat; cook 5 minutes.
Combine milk, whipping cream, and Worcestershire sauce. Gradually add milk mixture to crab meat mixture, stirring well. Heat thoroughly. Ladle soup into individual serving bowls. Add sherry to taste. Serve immediately.