In a large skillet cook shallots with bay leaf in 1 tablespoon butter over moderate heat, stirring, until soft. Add shrimp and salt and pepper to taste and cook, stirring occasionally, until shrimp are pink and cooked through, about 3 minutes. Add Sherry and boil mixture until almost all liquid is evaporated. Cool mixture and discard bay leaf. Transfer shrimp with tongs to a cutting board, reserving shallot mixture, and chop fine.
In a bowl stir together remaining 5 tablespoons butter and cream cheese until smooth. Stir in shrimp, shallot mixture, lemon juice, chives, and salt and pepper to taste and transfer to a 1 1/2-cup crock. Chill potted shrimp, covered, at least 4 hours and up to 24.
