Place the squash cubes in a saucepan and fill it with cold water. Heat over high heat until it comes to a boil, then reduce it to a simmer. Simmer for 15 to 20 minutes, until the cubes are fork tender. Drain them well, removing all water.
Heat the olive in a saucepan over medium heat. Add the fresh sage and cook about 1 minute per side, just until crisp. Remove it and place on a paper towel.
In a food processor (or even a stand mixer!), combine the cooked butternut squash, the brown butter, crispy sage, cream cheese, parmesan, salt, nutmeg and pepper. Pulse until the cream cheese breaks down and the mixture starts to come together. You want it to be smooth – no cream cheese lumps! Once it’s smooth, scoop it out onto a piece of plastic wrap. Form it into a ball and wrap it up tightly. Place it in the fridge for at least 30 minutes (or even overnight!)
After 30 minutes, place the chopped walnuts on a plate. Remove the cheeseball from the fridge and set it on the chopped walnuts. Coat the ball in the walnuts, pressing gently to adhere.
At this point, you can serve the cheeseball immediately or set it back in the fridge until you’re ready to use!