Whisk the egg yolks, egg, sugar, orange juice and sherry in the top of a double boiler until light and creamy. Place over simmering water. Cook for 10 minutes or until thickened, whisking constantly. The mixture will foam up before thickening.
Pour into 6 glasses and serve immediately or place the top of the double boiler over a bowl of cool water and whisk until cool. Fold in the whipped cream and chill until ready to serve.