Preheat the oven to 400 F.
Tear the bread to small pieces, smaller than croutons. Break the egg and lightly whisk it into the milk. Soak the bread in the mixture.
Melt the butter over medium heat, then sauté the celery and shallot until wilted, about 5 minutes. Add the garlic and cook a minute more. Remove from heat and set aside.
Add the crabmeat to the bread mixture, along with the sherry, hot sauce, mustard, salt, and pepper. Toss to mix well. Then, when cool enough, add the vegetables and melted butter, then toss again.
Lightly grease either the empty crab shells, individual ramekins, or a baking dish, then fill them with the crab mixture. Bake until sizzling and golden brown, about 12 minutes.