Make sauce. Put wine, shallots, salt, pepper, sugar, bay leaf, and thyme into an enameled saucepan. Boil to reduce liquids to half. Add stock and boil again, reducing liquids to less than half, or until slightly thickened.
Strain sauce into a small bowl. Rinse out pan, dry it, and pour liquids back into it. Combine marrow and lemon juice. Add to sauce. At thi