Preheat oven to 190ºC . Combine scallops with wine, mushrooms, and bay leaf in large skillet. Bring to a boil; cover and simmer for 2 minutes. Remove pan from heat. Melt butter in saucepan. Blend in flour, stirring until smooth. Add cream; cook over medium heat, stirring constantly, until sauce thickens. Add parsley, pepper, and sherry. Stir scallop mixture into cream sauce. Spoon mixture into 4 small ramekins (small baking dishes). Cover with foil and bake for 15 minutes. Uncover and bake for 5 minutes more, or until sauce bubbles. Remove scallops from oven. Sprinkle with paprika and serve.