Cut oranges in half and scoop out pulp. Place pulp in 3-quart saucepan with pineapple
and add lemon juice and sugar. Cook over low heat, stirring occasionally, until
mixture becomes the consistency of a thin marmalade.
As mixture cooks, scallop edges of orange shells, if desired, using small scissors.
Stir sherry into pineapple mixture and refill shells.
Sprinkle with walnuts.
Bake at 350 degrees F for 20 minutes.
Do not refrigerate.
Serve at room temperature. Can be held at room temperature overnight.