Cover the sultanas with the PX sherry and leave to soak overnight.
Whisk the egg yolks and sugar together until pale and creamy and the sugar has dissolved.
Put the milk, double cream and roasted walnuts into a pan on a low heat until just steaming – the walnuts will break down and flavour the milk. Slowly add to the egg yolks and sugar bit by bit, whisking it together. Pour back into the pan and put on a low-medium heat. Keep stirring – don’t go anywhere! – and cook until the temperature measures 83–85°C on a kitchen thermometer (until the eggs are cooked and the mixture looks thick).
Pour into a container and cool in the fridge for a few hours, then put into an ice cream machine and churn until smooth and creamy – 5 minutes before this point, when the paddle can still just turn, add the sultanas and sherry.