In a small bowl, whisk together egg yolks and heavy cream until well blended. Set aside. Melt butter in a saucepan over low heat. Stir in the egg yolk mixture and sherry. Cook, stirring constantly until the mixture thickens. Do not boil.
Remove from heat, and season with salt, cayenne, and nutmeg. Add lobster. Return pan to low heat, and cook gently until heated through. Serve hot over slices of buttered toast.