Preheat the oven to 375°F and grease a small pan with olive oil.
Wash the squash well and slice them lengthwise, from stem to base. Check my detailed instructions below for how to safely slice squash.
Slice a sliver off of the bottom of each squash half so the halves sit flat, then place them in the oiled pan.
Break 2 slices of bread into pieces and soak them in ½ cup milk for 5 minutes.
Remove the crust of the bread and break it into crumbs with your hands or a food processor. Leave the crust crumbs aside for topping. Squeeze the bread slices to wring out most of the milk and mash or slice into a paste.
Mince the garlic and parsley, and remove the sausage from their casing. Combine in a large bowl alongside the crushed red pepper and egg.
Mix well with your hands for 35-45 seconds, until well mixed but not so much it becomes tough.
Stuff your squash halves with the Italian sausage mixture.
Top with the crust breadcrumbs and sprinkle with olive oil and ½ cup grated cheddar.
Roast in your preheated oven for about 30 minutes covered with aluminum foil, and then another 30 minutes uncovered, until the squash is tender when you poke it with a fork. The cheddar on top should be a nice golden brown.