Drain the snails. Make a stock with the white wine, 2 thinly sliced shallots and the thinly sliced carrot and onion. Reduce by half. Put in the snails, simmer for 5 minutes, strain. Put the marrow into a saucepan, cover with water, bring to a boil, keep boiling for 2 minutes. Drain. Mix the marrow with a mixture of 2 chopped shallots and the chopped garlic and parsley. Salt, pepper, pep up with a little Cayenne. Remove the stems of the mushrooms, wash the caps, rub with lemon, wipe dry and put into a gratin dish. Put 3 snails and a little stuffing into each cap. Cover the dish with oiled wax paper and bake in a medium oven (350F) for 25 minutes. Serve very hot.