Heat oven to 350°F. In a medium skillet over medium heat, melt butter. Add chopped onions and reduce heat to medium-low. Cook onions, stirring occasionally, 10 minutes until softened. Add salt and pepper to taste. Continue to cook onions for 10 minutes, stirring occasionally, then add fresh thyme leaves. Cook for another 10 to 15 minutes, stirring occasionally until onions are deep golden brown and very caramelized. Add sherry and continue to cook for 3 minutes more. Remove from heat. Stir in cream cheese, egg, and parsley until well combined.
Place filled shells on a rimmed baking sheet. Fill each shell with a scant tablespoon onion mixture. Bake for 10 to 15 minutes until shells are lightly golden and filling is lightly browned on top. Serve warm.