In a heavy 2-quart saucepan combine wine, salt, peppercorns, parsley, bay leaf, thyme, shallots and water. Bring to a boil, cover, and simmer over low heat for 5 minutes. Strain liquid, discarding herbs, then return to saucepan.
Add scallops and simmer, covered, 5 more minutes.
Remove scallops from liquid, then boil liquid down over high heat to 1 cup. Set aside.
Melt 2 tablespoons butter in small skillet over medium heat and add mushrooms and saute until all the liquid has evaporated and they are lightly browned, about 8 minutes. Set aside.
Melt 3 tablespoons butter in a 1-quart saucepan over medium heat. Add flour and cook, stirring constantly, for 1 to 2 minutes. Add milk and reduced 1 cup cooking liquid, beating vigorously with a wire whisk until combined. Over medium heat bring this to a boil, stirring constantly, until thick and smooth.
In a separate bowl beat yolks and cream. Slowly return mixture to hot cream sauce. Cook over very low heat for 1 minute. Remove from heat.
Add lemon juice, cayenne, scallops, and mushrooms. Adjust seasoning. Spoon mixture into 8 buttered shells or ramekins and sprinkle with cheese. Dot with remaining 2 tablespoons butter.
Bake about 5 to 10 minutes until browned and bubbly.
Makes 6 to 8 servings of Coquille St Jacques.
Coquille St Jacques may be prepared ahead of time and frozen up to 1 week in advance. Bring to room temperature and add cheese before baking. In smaller portions Coquille St Jacques may be used as a first course.