Heat olive oil in a saucepan and add onions. Cook for 20 minutes until soft and golden brown on low heat.
Add sage leaves and cook for another couple of minutes.
Remove from heat and allow to cool.
Using a sharp knife slit the skins off sausages and add to a mixer along with the cooled mixture of onions and sage.
Add breadcrumbs and a little grated nutmeg. Mix together with hands.
On a floured work surface, roll the puff pastry as long as possible while keeping it a pound coin thick. Cut the pastry lengthways in two long rectangles.
Roll the mixture into sausage shapes and place in the centre of each rectangle.
Mix together the egg and milk and brush the pastry with the mixture.
Now, fold one side of the pastry over, wrapping the filling inside. Press down with fingers to wrap the seal.
Cut into desired sizes and place on baking tray.
Brush the top with another layer of egg white mixture and bake for 25 minutes or until puffed.
Serve with piccalilli to leave your guests impressed!