This is adapted from Kelly Cameron's Sausage Gravy and Biscuits. I left out the biscuits, because you can really use any bread or biscuits you like. For example, my family always use Focaccia bread from the BiLo Bakery and it is phenomenal!
Cook sausage in a skillet with 1 to 2 tablespoons of butter for about 5 minutes.
Add onions to sausage and cook until sausage is done.
Meanwhile, in a separate bowl, combine milk, Worcestershire sauce, and the black and cayenne pepper; set aside. The amount of both kinds of pepper is subjective. I like for my gravy to be spicy and hot so I put in what I think will be too much and then add two shakes. It is almost always perfect for ME. Do what is perfect for you.
When sausage/onion mixture is done, if you want to drain the extra grease, remove from the heat and do so. I usually don't because unlike real sausage, the vegetarian sausage does not produce nearly as much, but it is enough.
Return sausage/onion mixture back to skillet.
Over medium/low heat, add the remaining butter (if necessary)
Gradually add the flour.
Turn to coat sausage and cook until golden (approx).
Return heat to medium.
Stir in small amounts of milk (about a 1/4 to a 1/2 cup at a time).Continue stirring and let it soak up the flour and get too thick and then add a little more. Do this until it starts to thin and it takes on the consistency that you want. Be sure that you are stirring more or less continuously and that your most recent addition is heated through. (You may or may not use all of the milk mixture and if necessary, add more milk - Gravy is never an exact science)