The unbaked empanadillas can be refrigerated overnight. Alternatively, spread the empanadillas on a baking sheet in a single layer and freeze until solid, then transfer to an airtight container and freeze for up to 1 month; don't thaw before baking.
Sherry partners well with foods that have vibrant flavors, such as tapas. Julian Serrano recommends Manzanilla Sherry. If you prefer nonfortified wines, he suggests a Fumé Blanc.