Parboil the sweetbreads and let them cool. Melt the butter in a pan, and to this add the milk and flour, mixed together, and stir briskly until boiling.
Season with salt and Cayenne pepper to taste.
Cut the sweetbreads into small pieces, put them into the mixture, and cook for 5 minutes.
Take off of the fire, add the beaten yolks of the eggs, and the sherry, and serve in patty shells.