Pulse in food processor peppers, celery and onion; put in bowl. Add tail meat to processor and pulse until ground. In bowl incorporate meat and half the pepper mixture. Add mayonnaise and cracker crumbs; mix. Form into balls; roll in breadcrumbs. Arrange shrimp on heatproof plate; place the tail mixture on fan. Pull fan down; secure with toothpick. Place in 350-degree oven for 10 minutes, until golden brown. Over low heat melt butter in sauté pan. Add shallot, garlic and saffron; sauté 30 seconds. Deglaze pan with sherry; add cream. Cook until sauce thickens; divide onto 4 plates. Arrange shrimp on top of sauce. Garnish with tail meat and parsley.