Melt the butter in the top of a double boiler (or in a heavy pan using low heat) and add the flour, salt and cayenne and mix well. Add the cream and milk gradually, stirring. Cook and stir until thickened. Add shrimp.
Just before serving, add the egg yolks and flavorings. Do not allow to boil.
After you have made the sauce, poach your eggs and make your toast.
Pour the sauce over your eggs and serve with parsley and/or a vegetable like broccoli, asparagus or slices of pimento