These could not be easier. You take a hard boiled egg, then wrap it in sausage. There is a tip I can offer though; try to make the sausage coating as even as possible, and don't go too thin because it will "crack" during cooking since the sausage will shrink as the fat melts away. It's not a big deal I guess, but wouldn't look as pretty.
I used my grill pan so that it would drain the fat a little as it ran off. I cooked these at 350 in the oven until the sausage was cooked through. If you overcook it, you will also have troubles with it cracking. The traditional cooking method is to deep fry these - and if you have a fryer - be my guest, I'm sure they'd be to die for! If you were going to coat them in breadcrumbs, you'd roll them in it after you apply the sausage.