Melt the butter in a large skillet over medium heat and sauté the onion and celery until soft. Sprinkle the flour over the vegetables, stir, and cook 5 minutes. Add all the spices, Worcestershire sauce, Tabasco, and a splash of lemon juice and simmer briefly. Add the cream and milk and heat almost to scalding, stirring constantly. Add the crabmeat and roe and stir. Heat just long enough to warm through. Add the sherry and serve at once, garnished with paprika and chopped parsley.
Although you can keep female crabs in Texas, I always release the females and never buy them at fish markets. I have seen such a decrease in crabs in the last 12 years, that I figure that we need to give the females a break!