Step 1: In a large, heavy-bottomed pot or Dutch oven, melt the unsalted butter over medium heat. Add the finely chopped yellow onion and celery, and sauté until softened and translucent, about 5-7 minutes. Do not brown.
Step 2: Sprinkle the all-purpose flour over the sautéed vegetables. Cook, stirring constantly for 2-3 minutes, to create a roux. This will help thicken your soup.
Step 3: Gradually whisk in the whole milk, then the heavy cream, and finally the fish stock (or chicken broth) into the roux. Whisk continuously to prevent lumps until the mixture is smooth and begins to thicken slightly. Bring to a gentle simmer.
Step 4: Reduce the heat to low. Stir in the Old Bay seasoning, white pepper, and ground nutmeg. Season with salt and freshly ground black pepper to taste. Allow the soup to simmer gently for 15-20 minutes, stirring occasionally, to allow the flavors to meld and the soup to thicken to your desired consistency.
Step 5: Gently fold in the picked lump crab meat. Be careful not to break up the delicate crab lumps too much. Do not boil the soup once the crab meat is added, as this can toughen the crab. Simply heat through for about 5 minutes.
Step 6: Remove the pot from the heat. Stir in the dry sherry. Taste and adjust seasonings one final time if necessary.
Step 7: Ladle the she crab soup into bowls. Garnish with fresh chopped parsley or chives and a dash of paprika, if desired. Serve immediately with crusty bread or oyster crackers.