In a small nonreactive saucepan, combine the shallots, lemons, wine, salt, and cayenne over medium heat, bring to a gentle boil, and cook until as thick as syrup. Add the cream and cook, stirring a few times for 2 minutes, then remove from the heat. Add the butter 1 tablespoon at a time, whisking after each addition, until all is incorporated. Add the hot sauce and Worcestershire and whisk to blend. Strain through a fine-mesh sieve and keep hot.