Put the squash on a baking sheet, drizzle over half the oil and scatter over the sage leaves. Place in a preheated oven, 200°C (400°F), Gas Mark 6, for 20–25 minutes until golden and tender.
Heat the remaining oil in a large frying pan, while the squash is roasting. Add the onion and fry for 3–4 minutes until softened, then mix in the rice and coat with the oil. Pour in the wine and cook, stirring, until the liquid is absorbed.
Add the stock a ladleful at a time, stirring continually, adding the next ladle only once the previous one has been absorbed. When the rice is al dente, remove the pan from the heat, stir in the Parmesan and butter and season well.
Top the risotto with the squash and serve in shallow bowls with the blue cheese and rocket scattered over.