Peel onions. Cut a 1/2-inch slice off the top of each onion. If necessary, cut a very thin slice off the bottom of each onion so it will sit flat. Using a melon baller, scoop out centers of onions, leaving 1/4- to 1/2-inch shells. Chop 1/4 cup of the scooped-out onion.
For stuffing, in a large skillet cook sausage and the 1/4 cup chopped onion over medium-high heat until meat is brown, using a wooden spoon to break up meat as it cooks. Drain off fat. Add apple; cook for 3 to 4 minutes more or until tender, stirring occasionally. Cool slightly. Stir in bread crumbs, cheese, and snipped sage. Spoon stuffing into onions.
Tear off four 12-inch squares of foil. For each packet, place two sage leaves in the center of a foil square. Place a stuffed onion on top of sage. Bring up edges of foil and seal to enclose onion, leaving space for steam to build.
For a charcoal grill, arrange medium-hot coals around a drip pan. Test for medium heat above pan. Place onion packets on grill rack over drip pan. Cover and grill for 20 minutes. Carefully peel back foil so onions are exposed. Cover and grill for 10 to 15 minutes more or just until onions are tender and lightly browned. (For a gas grill, preheat grill. Reduce heat to medium. Adjust for indirect cooking. Cover and grill as above.)
If desired, fry sage leaves in a small amount of hot oil just until crisp. Garnish onions with fried sage leaves.