Cover the shrimp or lobster tails with the champagne or wine. Add salt and cayenne. Poach gently just until shrimp are pink. Let cool in wine. Remove from wine, saving the stock.
Discard shells of shrimp or lobster. Meantime, boil wine stock to reduce to 1 cup. Beat egg yolks until thick, blend in conrstarch, add a little of the hot stock, then combine yolks with remaining stock, butter, cream, and paprika. Cook slowly, stirring with a whisk, until sauce is slightly thickened and smooth. Taste to see if additional salt is needed.
Arrange the shrimp or sliced lobster in a large shallow casserole or 4 individual ramekins, cover with the sauce, place under broiler 6 inches from heat, until top is glazed and golden.