Heat oven to 350 degrees F.
Spread walnuts on a baking pan. Bake until fragrant, about 7 minutes. Transfer walnuts to a bowl; set aside to cool. Finely chop, and reserve.
In a large heavy skillet over medium heat, melt 4 tablespoons butter. Add mushrooms, scallions, and thyme, and cook, stirring occasionally, until liquid has been released and then skillet becomes almost dry, 5 to 8 minutes. Stir in salt, pepper and sherry. Cook until skillet is almost dry, about 10 minutes more. Stir in lemon juice. Remove from heat, and let cool.
In a large bowl, combine mushroom mixture with reserved walnuts, parsley, hot pepper sauce, and cream cheese. Season with salt and pepper, to taste.
Line a 3-cup mold with plastic wrap, allowing for a 4-inch overhang on all sides. Spoon the mushroom mixture into the mold. Cover with plastic overhand and firmly press down all over terrine with hands; spread mixture as evenly as possible. Refrigerate for at least 8 hours, or overnight.
Just before serving, melt remaining 2 tablespoons butter in a medium skillet, and cook halved mushrooms just until tender, about 5 minutes. Season with salt and pepper. Unwrap chilled terrine, and invert it onto a small serving platter. Surround with cooked mushroom halves, and thyme leaves. Serve with toast points, water biscuits, or any plain cracker.
Toast points, water biscuits, or any plain cracker, for serving.
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