For the sauce, melt the butter over medium-low heat. Add the shallots and cook, stirring, until just tender, 3 to 5 minutes. Be careful not to caramelize them. Add the sherry and cook it down until the pan is almost dry. Add the wine and saffron; cook, stirring, until the alcohol has evaporated, another 2 or 3 minutes. Add the cream and cook, stirring, until the sauce has reduced at least by half. This might take another 2 minutes or so: you want about 1-1/2 cups of sauce that is thick enough to coat the back of a spoon. Finish with the salt, cayenne, and white pepper. Keep the sauce warm while you grill the scallops or, if you’re making it ahead, refrigerate it and reheat before serving.