Prepare oven and dishes: Preheat oven to 450ºF. Lightly grease 4 natural baking shells or individual ramekins.
Make sauce: Melt 1 Tbsp. butter in a small heavy saucepan over low heat; add flour, whisking until smooth. Cook, whisking constantly, 1 minute. Gradually add milk and onion; cook over medium heat, stirring constantly, 2 minutes or until thickened and bubbly. Remove sauce from heat.
Add mayonnaise: Stir in Worcestershire sauce and sherry. Stir in mayonnaise and next 3 ingredients.
Cook crabmeat: Melt remaining 4 Tbsp. butter in a medium-size heavy skillet over medium heat. Add crabmeat, and sauté 1 to 2 minutes. Remove from heat. Stir in sauce.
Add crab to ramekins: Spoon mixture into prepared baking shells (about ¾ cup each). Sprinkle with cheese, and, if desired, paprika.
Bake: Bake for 10 minutes or until hot and bubbly. Serve immediately.
