When lobsters are cool enough to handle, Halve lobsters lengthwise with kitchen shears, beginning from tail end, then remove tail meat, reserving shells. Cut all lobster meat into 1/4-inch pieces. All pick any meat from horns or legs. Discard any remaining lobster innards, then rinse and dry shells
Heat butter in a 2-quart heavy saucepan over moderate heat until foam subsides, then cook mushrooms, stirring, until liquid that mushrooms give off is evaporated and they begin to brown, about 5 minutes. Add lobster meat, paprika, salt, and pepper and reduce heat to low. Cook, shaking pan gently, 1 minute. Add 1 tablespoon Sherry and 1/2 cup hot cream and simmer 5 minutes.
Whisk together yolks and remaining tablespoon Sherry in a small bowl. Slowly pour remaining 1/2 cup hot cream into yolks, whisking constantly, and transfer to a small heavy saucepan. Cook custard over very low heat, whisking constantly, until it is slightly thickened and registers 160°F on an instant-read thermometer. Add custard to lobster mixture, stirring gently.
Arrange lobster shells, cut sides up, in a shallow baking pan and spoon lobster with some of sauce into shells. Broil lobsters 6 inches from heat until golden brown, 4 to 5 minutes. Serve remaining sauce on the side.
* When salting water for cooking, use 1 tablespoon salt for every 4 quarts water.