Preheat oven to 400°F Oil a large baking sheet. Cut the squash in half, scoop out the seeds, and put the squash halves, cut side down, on the baking sheet. Bake until very tender about 30 minutes. Let the squash cook to room temperature, then puree in a food processor or blender. Measure 2 cups of the puree and save any extra for another use.
Cook the wild rice in the water for 20 minutes to an hour, depending on the variety. Drain off any excess water when the grains are tender.
Ina soup pot, heat the butter, then saute the onio, sage, and celery over medium heat until tender. Sprinkle in the flour and cook, stirring and scraping the bottom of the pan to prevent scorching, for about 3 minutes.Whisk in th emilk, a little at a time, and bring to a simmer. Reduce the heat so the mixture just bubbles gently for a couple of minutes.
Whisk in the pureed squash, and stir over low heat. Add the thyme, cayenne, salt, wild rice, and apple, stirring over low heat just until warmed through.