Basically the two schools of using alcohol in food are the following:
1) If you wouldent drink it never put it in your food (use only moderate and above quality and nothing labeled "cooking")
2) Use the cheapest you can find, only the alcohols strongest characteristics will survive the cooking.
I lie somewhere in between. I do not dare use anything with a $20+ a liter price tag in cooking but at the same time I will use SOME cooking wines. Cooking sherry never treated me too well but chinese cooking wine is more floral than the usual stuff and makes a great addition to meals. So yeah, Im thinking ask your local wine dealer for a drier (drier than Jerez) and maybe even tangy (brut) sherry that's cheap as it's going into a sauce. We live in a day and age where all buisnesses WANT customers to ask about products, so unless the guy is a real @#^& you should be fine.