Just guessing that you would cook the lobster and remove and chop the meat. Make a white sauce flavored with a little sherry. Saute some mushrooms, and maybe some shallots, mix it all together and put it back in the shells. Top with Parmesiano Reggiano and run it under the broiler until golden.

The flavors are pretty simple, and I might be wrong about the sherry..maybe just some white wine instead.