Cooking the Scallops: Simmer the white wine and flavorings for 5 minutes. Add the scallops and mushrooms to wine, and pour in enough water barely to cover ingredients. Bring to a simmer. Cover, and simmer slowly for 5 minutes. Remove scallops and mushrooms with a slotted spoon, and set aside in a bowl. Rapidly boil down the cooking liquid until it has reduced to 1 cup.
The Sauce: Cook the butter and flour slowly together for 2 minutes. Off heat, blend in the boiling cooking liquid, then the milk. Boil 1 minute. Blend the egg yolks and cream in a bowl, then beat the hot sauce into them by driblets. Return the sauce to the pan and boil, stirring, for 1 minute. Thin out with more cream if necessary. Season to taste with salt, pepper and lemon juice.
Blend two thirds of the sauce with the scallops and mushrooms. Butter the shells. Spoon the scallops and mushrooms mixture into the shells and cover with the rest of the sauce. Sprinkle with cheese and dot with butter. Arrange shells on a broiling pan. ** Set aside or refrigerate until ready to broil.
Fifteen minutes before serving, set the scallops 8 to 9 inches under a moderately hot broiler to heat through gradually and to brown the top of the sauce. Serve as soon as possible.