Step 1: Preheat oven to 350°. Heat oil in a medium skillet, add onion and cook until tender, about 2-3 minutes, stirring occasionally.
Step 2: Add the flour and stir for another minute. Add the milk, a little at a time, stirring constantly.
Step 3: Add the salt and pepper and continue stirring until thick. Remove from heat and add the wine or sherry.
Step 4: Wash and pat dry the fillets and place in a pan. Pour the sauce over the fish and bake for 30-40 minutes, depending on the thickness of the fish. Serve with rice.
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