1Melt butter in a large saucepan over medium heat. When foaming subsides, add onion, season with salt, and cook, stirring occasionally, until soft and translucent, about 5 minutes.
2Add sherry and cook until alcohol smell has dissipated, about 1 to 2 minutes. Add garlic, thyme leaves, and mushrooms and cook, stirring occasionally, until mushrooms are shrunken and nearly covered in liquid, about 20 minutes. Add broth or water and cook until flavors have melded, about 30 minutes.
3Process soup in a blender until smooth (you may have to do this in batches), then return to the pot over low heat. Add cream and bring to a simmer. Add lemon juice and season to taste with salt and freshly ground black pepper.
4Heat the broiler, top baguette slices with 1 to 2 teaspoons blue cheese each, and place on a baking sheet. Broil until cheese is bubbly and toast is crisp, about 1 to 2 minutes. Float 2 to 3 toasts in each bowl and serve.