Wash leeks very well - slice and use white part only. In ¼ cup of butter, sauté leeks until tender but not brown. Remove and set aside. In the remaining butter, sauté mushrooms until soft - about 10 minutes. Blend in flour, salt and cayenne. Gradually stir in broth and milk. Cook, stirring until mixture thickens and comes to a boil. Add leeks, sherry, salt and pepper to taste. Simmer 10 minutes. Serve with thin slices of lemon and a sprinkling of parsley, if desired.