Preheat the oven to 400 degrees.
Spray a casserole dish with cooking spray or prepare with olive oil.
Cut sausages through the middle but not completely in half - just enough to stuff the shredded mozz or cheese sticks into the sausages.
Stuff the sausages with the cheese, pressing the sausage around the cheese as much as possible.
Pour a little sauce on the bottom of the baking dish, then add the stuffed sausage links.
Pour remaining sauce over sausages.
Bake for 45 minutes or until the sausages reach an internal temp of 165.
Top with parmesan and serve with a salad, pasta or garlic bread!