Cut scallops in quarters and slice mushrooms. Add wine to scallops and mushrooms and poach until scallops are about half cooked and translucent. Drain and reserve liquid.
Add heavy cram, lemon juice, thyme, paprika and white pepper to the liquid. Bring to a boil and thicken with roux. Pour liquid over scallops until well coated and place aside until desired.
When ready to prepare for serving, place 8 oz. of the mixture into a casserole dish. Top with 3 oz. of shredded cheese mixture. Bake until cheese is melted and bubbly brown.
* To make the roux, mix equal parts butter and flour in a heavy pan. Cook on medium heat, stirring constantly until the roux turns a light brown color.