For the Mushroom Duxelles (40 Minutes + Cooling Time):
Place the mushrooms in a blender and pulse until they form a coarse (5-8mm, just over ¼") crumb.
Peel and dice the shallot as finely as you can.
Heat a wide-based (28cm or 11") not nonstick frying pan over a medium-low heat.
When the pan is hot, add the butter and wait for it to melt.Add the mushrooms, shallot, salt and pepper and cook for 30 minutes, stirring every 4-5 minutes.
After 30 minutes, the water should have been driven off from the mushrooms, and you will be left with quite a dry mushroom "paste". Set this aside and allow it to cool.
For the Mushroom Sauce (25 Minutes):
Cut the mushrooms into slices 3-4mm (⅛") thick.
Peel the shallot and dice it as finely as you can.
Heat a small saucepan (18cm or 7") over a medium-high heat and, when it is hot, add the butter.When the butter begins to foam, add the shallots and soften for 2 minutes, stirring regularly.
Add the sliced mushrooms and cook until they begin to colour (stirring occasionally) and all of the moisture has evaporated, this will take around 5-7 minutes.
Add in the flour and cook for 1-2 minutes, stirring continuously, the texture will go claggy, this is fine.
Pour in the dry sherry and cook until the sherry has almost all evaporated.
Reduce the heat to low and add the chicken stock, and cook for 5 minutes.
Have a taste and add more salt if required. Remember, we are adding cream, so the mushrooms should be a little too salty at this point.
Add the cream 5 minutes before the chicken parcels come out of the oven and cook over a low heat, making sure that the sauce does not boil.
Just before serving, finally chop the parsley and stir it through the sauce.
For the Chicken Parcels (50 Minutes):
Rub the chicken breasts with the oil and season with the ¼ teaspoon of salt and pepper.
Heat a wide-based (28cm or 11" not non-stick) frying pan over a medium-high heat.
When the pan is hot, add the chicken breasts presentation (skin side) down and cook until they go golden, which will take3-4 minutes.Flip the chicken and cook for another 2-3 minutes, then remove and set aside on a plate.
Roll out the puff pastry until it is 4-5mm (just under ¼") thick (using as much flour as needed to stop it sticking) and cut it so that it forms four rectangles. Two rectangles should be 1½-2cm (½-¾") larger than the chicken breast; the other two should be around 25% larger than the first two.
Cut the ham so that it is the same shape and size as the chicken breast.
To build, place one of the rectangles of pastry on your work surface and place the ham on top of it in the centre.
Spread half of the mushroom duxelles on top of the ham in an even layer.
Place the chicken breast on top of the mushroom and ham.
Take a second sheet of pastry and run over it with a pastry lattice cutter.
Tease the pastry open so that it forms a good-looking lattice.
Using your finger, run some water on the bottom layer of puff pastry around the edge of the chicken.
Place the pastry lattice over the chicken and gently seal the edges by pressing down.
Cut the parcel so that it is the shape of the chicken and place it on a baking sheet lined with baking parchment.Repeat steps 7-14 for the second parcel and place it on the baking sheet.
Finally, brush the pastry with a little milk so that it glazes nicely and sprinkle with just a little coarse sea salt.
Place it in an oven at 200°C or 400°F and cook for 25-30 minutes or until the thickest part of the chicken reaches 73°C or 164°F.