Cook halved lobster tails with 1 tablespoon vegetable oil over medium high heat. Remove the lobster tails once they are nearly cooked. The meat should be lightly browned and the shells should be orange.
Once the lobster tails are cooled, remove the meat from the shells. Roughly chop and set aside for later.
Place the lobster shells in a medium sized pan and combine with milk, peppercorns, and bay leaf. While stirring, bring to a boil, and remove from heat. Once infused milk has cooled, strain and set aside for later.
Preheat oven to 400°F.
In a separate pan, melt the butter and add flour over medium heat. Stir and cook until the mixture becomes a light brown color. Slowly stir in infused milk to mixture. Next, add parmesan and gruyere cheese to the mixture. Heat until all cheese has been melted. Then, add cooked macaroni to the mixture, stir until thoroughly combined. Transfer mixture to a small baking dish.
Add lobster to the dish and thoroughly combine.
Top off the dish with an evenly spread combination of breadcrumbs, parmesan cheese, and cayenne pepper.