Peel and wash the onions, cutting off only the stem end and most of the root end. Par-boil in boiling salted water for about 20-25minutes. Drain upside down on a rack. When cool enough to handle, scoop out the centers, leaving about 1/2" shell, being careful not to break through the shell. Sprinkle inside with pepper mixed with a pinch of cayenne. Chop the mushrooms and the onion centers, add the bread crumbs, thyme, salt and sherry (you can use a rich chicken broth but the flavor is very different.)
Fill the onions with this mixture and put them in a buttered shallow casserole. Brush melted butter all over them, cover with foil and bake for 30 minutes at 350 degs. then uncover for 10-15 minutes more or until tender.