Heat oven to 375°F. In Dutch oven, bring 4 quarts water and 2 teaspoons salt to a boil. Add lobster tails; return to a boil. Cook 8 to 10 minutes or until lobster turns red and meat is slightly opaque. Immediately plunge lobster into cold water to stop cooking. (Lobster will not be thoroughly cooked, but will continue to cook during baking step.)
With kitchens scissors, cut and remove membrane on under side of lobster tails. Remove meat. Cut meat into 1-inch pieces; place in medium bowl. Set aside. Bend shells backwards slightly to flatten; place in 8-inch square pan.
Melt butter in medium nonstick saucepan over medium-low heat. Stir in flour with wire whisk; cook and stir 1 to 2 minutes or until smooth and bubbly. Gradually add warm half-and-half, cooking and stirring 2 to 3 minutes or until mixture boils and thickens. Remove from heat. Stir in lemon juice, sherry, mustard, 1/4 teaspoon salt and hot pepper sauce.
Reserve 2 tablespoons cheese for topping. Add remaining cheese and egg yolk to hot mixture; mix well. Stir half of sauce into lobster meat in bowl. Spoon mixture into lobster shells. Top each with remaining sauce. Sprinkle each with reserved cheese.
Bake at 375°F. for 15 minutes or until edges are bubbly. Broil 2 to 3 minutes or until cheese is golden brown.