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Use the oil to coat a large baking tray. Unroll the puff pastry on a work surface so it’s flat, then cut it into 16 x 10cm-long strips.
Wind a strip of pastry around each sausage, so it looks like a corkscrew. Transfer to the prepared tray and chill for 15 mins. Will keep in the fridge overnight, or the freezer for up to two weeks.
Heat the oven to 220C/200C fan/gas 7. To make the glaze, combine the soy milk, oil, nutmeg, garlic, a pinch of salt and plenty of black pepper in a bowl. Brush the glaze over the pastry spirals using a pastry brush, then sprinkle with the sage. Bake for 25-30 mins, or until the pastry is puffed up and golden, and the sausages are cooked through.