In a large skillet, melt the butter over medium heat. Add the chopped onion and sauté until translucent, about 3-4 minutes.
Stir in the heavy cream and milk, and bring the mixture to a gentle simmer.
In a small bowl, whisk together the egg yolks, sherry or brandy, Worcestershire sauce, salt, black pepper, and cayenne pepper (if using).
Slowly add the egg yolk mixture to the skillet, stirring constantly to prevent the eggs from scrambling. Cook for an additional 2-3 minutes until the sauce thickens slightly.
Gently fold in the chopped lobster meat and heat through for about 2 minutes.
Serve the Lobster Newburg over buttered toast or in puff pastry shells. Garnish with fresh parsley.