In a large bowl, combine bread crumbs, 1 teaspoon nutmeg, sage, celery, onion, and salt an pepper; mix well. Beat egg slightly, and mix into the stuffing.
Spread stuffing on each fillet, roll up, and secure with toothpicks. Stand fillets up in a 2 quart casserole.
Stir together cream and sherry in a small bowl.
Pour over fillets.
Sprinkle with cheese.
Bake at 350 degrees F (175 degrees C) for 30 minutes.
Remove from oven.
Serve stuffed fillets with cream sauce.
Sprinkle lightly with nutmeg, place a pat of butter or margarine on each fillet, and garnish with parsley.
If the sauce needs thickening, pour it into a small saucepan. Stir in 2 to 3 tablespoons flour, and cook over low heat for 5 minutes.