Cut off tops of the pumpkins and clean out the seeds and strings. Scoop
out part of the pulp to form a clean cavity.
In a 4-quart heavy saucepan or stockpot, melt 1/3 cup of the butter over
medium heat and sauté onion until translucent, about 3 minutes.
Add the flour and stir to form a paste. Cook and stir over low heat for
2 minutes.
Gradually whisk the warm milk or half-and-half into flour mixture.
Add the bay leaf. Bring to a simmer and cook gently for 15 minutes.
Add the pumpkin puree and simmer an additional 15 minutes over very low
heat.
Strain through doubled cheesecloth or pass through a food mill. Season with
salt and pepper.
In a medium saucepan, melt the remaining 2 tablespoons butter and sauté
the apple for 2 minutes.
Add the thyme and nutmeg and cook 2 to 3 minutes longer, or until the apple
is tender but not mushy.
Spoon a portion of apple into each carved pumpkin bowl. Add the sherry,
if using, to the hot soup and pour into the pumpkin bowls on top of the apples.