Combine onion and margarine or butter in a 1-quart microwave-safe casserole. Microwave, covered, on 100 percent power (high) for 2 minutes. Stir in flour until smooth. Stir in sherry, salt, pepper, nutmeg, and mushrooms. Microwave, covered, on high for 4 to 5 minutes more until onion and mushrooms are tender, stirring once. Cool slightly.
Transfer 1/2 cup of mushroom mixture to a blender container or food processor bowl. (Set remaining mushroom mixture aside.) Cover and blend or process until smooth. Combine blended mushroom mixture, reserved mushroom mixture, walnuts, and chives in a serving bowl. Cover and chill for at least 6 hours or up to 3 days. Serve with apple slices, Belgian endive leaves, or crackers. Makes about 1 cup (16 servings).