I was just reading Escoffier and the Saxon Pudding is as follows:
Work 4 oz. of butter to a cream in a bowl. Add 4 oz. of powdered sugar and 4 oz. of sifted flour and dilute with 2/3 pint of boiled milk.
Boil this preparation, stirring it the whole time, and dry it over high heat as in the case of a panada for a pate a choux. Take it off of the heat, thicken with 5 egg yolks, and then carefully mix it with 5 whites beaten to a stiff peak. Pour into well buttered moulds, and poach in a bain marie.
As an accompaniment serve an English custard or Sabyaon, flavored according to taste.