As sausage cooks, place small saucepan over medium heat. Add in butter and flour and cook for 2-3 minutes. Whisk in milk, sage, and Worcestershire Sauce. Cook for 2 minutes or until slightly thickened. Season with a pinch of salt and pepper, then remove from heat. Off the heat, whisk in the goat cheese.
Once sausage and sauce is prepared, assemble as shown and serve immediately.
Notes
*You could also air fry the sausage balls at 350 for 6 minutes.