All of the ingredients are very easy to source except for the Pedro Ximenez sherry. For this you'll have to go to a decent bottle shop. The good ones will have a range of them differing in price. For this recipe, a cheaper one is absolutely fine. You're looking at around $27 for a 750ml bottle. Be sure not to use any other type of sherry, especially the dry ones. It has to be Pedro Ximenez to get the right results.
The left over sherry is lovely to sip on after a meal. Its sticky, sweet & raisiny in flavour and goes beautifully with dark chocolate. Or, pour a little over some good vanilla ice cream for an easy dessert.
Here's the link to the recipe.