In a 4- to 6-quart heavy pot cook the sausage over medium-high heat until lightly browned and cooked through, breaking meat up with a wooden spoon as it cooks. Transfer the sausage to a bowl, reserving drippings in pot.
Add oil to pot. Add the onions and cook over medium heat for 10 minutes or until tender, stirring occasionally. Add squash and cook and stir for 3 minutes. Add apples; cook and stir for 3 minutes more. Carefully stir in the sherry, scraping up any browned bits.
Add rice to pot and sprinkle with salt. Return sausage to pot along with walnuts and cranberries. Stir in broth. Bring to boiling; reduce heat. Cover and simmer for 40 minutes or until rice is tender. Stir in parsley and sage.