Preheat oven to 375 degrees F. Lightly grease a 3-quart rectangular baking dish; set aside.
In a large saucepan melt the butter over medium heat; add onion and salt and cook about 5 minutes or until onion is tender. Add flour to saucepan and stir until combined. Add milk all at once. Cook and stir until thickened and bubbly; stir in snipped sage. Remove from heat and set aside.
Arrange about 1/3 of the squash slices in the prepared baking dish in an even layer. Top with 1/3 of each of the cranberries, Parmesan, blue cheese, and sauce. Repeat layers two more times; top with walnuts.
Cover and bake for 20 minutes. Uncover and bake for 30 to 40 minutes more or until squash is tender. Let stand 15 minutes before serving. If desired, top with fresh sage leaves.