Preheat oven to 400 and make sure a rack is in the lower third of the oven.
Place the mushroom caps, bottom up on a greased baking sheet.
In a bowl mix together finely chopped mushroom stems, finely chopped onion, worcestershire sauce, may, cheese and salt and pepper. Spoon the mixture into a piping bag of a sealable plastic bag. Cut a hole in the tip large enough to get all the filling (it is chunky so the hole needs to be a bit bigger) and pipe into the mushroom caps.
Bake in the oven for about 25 minutes. The mushrooms will shrink in size a bit (because they have given off there liquid) and the filling should be bubbly and golden brown.