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You can make the soup and the sage oil up to a day ahead; chill the soup. The soup can also be frozen. Prepare the sage sandwiches a few hours ahead, ready to bake.
Start by making the sage sandwiches; set aside 9 large sage leaves. Strip the remaining leaves from the stalks and plunge them into a pan of boiling water, then immediately remove with a slotted spoon and plunge into a bowl of cold water. Dry them thoroughly on a clean tea towel and then blitz in a blender with the oil until the oil begins to turn green. Pass through a sieve and set aside.
For the soup, heat the oil in a pan, then add the onion and gently cook for 5 minutes. Next, add the butternut squash and stir, cover with a lid and allow to cook for another 10 minutes on a low heat. Make sure you stir occasionally so that the squash doesn’t stick to the bottom of the pan. Add the stock and bring to the boil, reduce to a simmer and cover. Cook until the vegetables are soft – around 15 minutes.
Meanwhile, preheat the oven to 190°C, fan 170°C, gas 5. Next, with a straight-bladed knife (serrated edges tend to rip the bread) cut the crusts off the bread. Then with a rolling pin, roll out the bread slices a little to flatten and trim the edges to neaten. Divide the reserved sage leaves between 3 of the slices and season with a little salt and freshly ground black pepper. Don’t completely cover the bread with sage as the sandwiches won’t stick together. Lay the other 3 slices on top to form a sandwich and run the rolling pin over them again lightly to ‘weld’ them together.
Shocking the sage leaves in cold water immediately after blanching stops further cooking and helps the sage keep its colour.
Lay the sandwiches on a lightly oiled baking sheet. Brush the tops with oil and cover with a piece of nonstick baking paper and then another baking sheet to weigh it down. Bake in the preheated oven for 20 minutes until crisp. Slice the sandwiches in half on the diagonal.
Stir the milk into the soup and bring back to a simmer then remove from the heat. Cool slightly and blend the soup in batches until smooth. Season to taste with salt, freshly ground black pepper and a pinch of freshly grated nutmeg.
Reheat the soup then ladle into warm cups or small bowls, adding a swirl of the sage oil and a grinding of freshly ground black pepper to each one. Serve with the warm sage sandwiches.