Step 1 In a small mixing bowl, macerate the shallots in the red wine vinegar until they soften slightly, about 5 minutes. Add the mayonnaise and blue cheese and stir roughly with a fork, mashing any large clumps of cheese with the tines of the fork. Stir in just enough heavy cream to make a slightly creamy consistency; the dressing will be very thick. Add salt to taste; because blue cheese can be quite salty, it might not need any. Stir in a generous grinding of black pepper and refrigerate tightly covered. Let warm slightly and stir briskly before serving.