In a large sauce pan combine the wine, water, bay leaf, shallot and about ½ tsp of salt. Bring the mixture up to a slow simmer and allow to cook for about 5 minutes.
Add the scallops to the broth and bring back up to a simmer. Once a simmer is reached cook for about 1 minute then remove from heat and allow scallops and broth to cool for about ten minutes.
After ten minutes remove the scallops to a bowl and return the liquid to heat bringing up to a boil and reduce until you have about 1 cup of liquid remaining.
While the liquid is reducing, in another sauce pan place the butter and when melted add the flour and mix and cook until all the flour is combined and begins to slightly brown.
Once the liquid is reduced, off heat add to the butter& flour roux and whisk to combine, then add the heavy cream and stirring constantly put back on heat and slowly up to a boil. As it reaches boiling it will begin to thicken. When thickened remove from heat and add about ¼ cup of the cheese, stirring to melt an combine. Add in the scallops and mix completely.
Ladle equal amounts of the mixture into scallop shells or ramekins, spoon remaining sauce over the top and divided the rest of the cheese over the top of each shell or ramekin.
At this point the dish may be set aside in the refrigerator until ready to serve.
To cook set your broiler on high and broil the scallops 4-10 minutes depending on how far from the heat you have them. They are done when the cheese begins to lightly brown and the sauce is bubbling. If broiling directly from making, keep them close to the heat to brown the top. If the scallops are room temperature lower them so they can heat up before the tops begin to brown.