Cut off top 1/4 inch of each garlic head. Place in a small, shallow baking dish. Drizzle olive oil over. Bake at 350 degrees F until golden, about 1 hour. Cool slightly. Press individual garlic cloves between thumb and finger to release. Chop garlic.
Melt butter in large, heavy saucepan over medium heat. Add garlic, leeks, and onion; saute until onion is translucent, about 8 minutes. Add flour and cook 10 minutes, stirring occasionally. Stir in hot broth. Simmer 20 minutes, stirring occasionally. Cool slightly.
Puree soup in batches in a blender or food processor.
Return soup to saucepan, and add cream. Simmer until thickened, about 10 minutes. Add lemon juice to taste. Season with salt and white pepper. Stir in Sherry. Ladle into bowls. Garnish with chives.