Pulse in food processor peppers, celery and onion; put in bowl.
Add tail meat to processor and pulse until ground.
In bowl incorporate meat and half the pepper mixture.
Add mayonnaise and cracker crumbs; mix.
Form into balls; roll in breadcrumbs.
Arrange shrimp on heatproof plate; place the tail mixture on fan.
Pull fan down; secure with toothpick.
Place in 350-degree oven for 10 minutes, until golden brown.
Over low heat melt butter in saute pan.
Add shallot, garlic and saffron; saute 30 seconds.
Deglaze pan with sherry; add cream.
Cook until sauce thickens; divide onto 4 plates.
Arrange shrimp on top of sauce.
Garnish with tail meat and parsley.