Crumble the sausage into a large cast-iron skillet over medium heat and cook until no pink remains and several pieces have dark brown edges, 8 to 10 minutes.
Sprinkle the flour over the sausage and stir constantly until it disappears into the fat and smells lightly toasted, 1 minute.
Pour in 1 cup of the warm milk while scraping the browned bits from the skillet, then stir in the remaining milk.
Add the salt, black pepper, sage and cayenne and bring the gravy to a gentle simmer.
Cook, stirring often, until the gravy leaves a clear trail across the skillet for a second before flowing back, 5 to 7 minutes.
Take the skillet off the heat and serve immediately; thin with 2 tbsp milk if it becomes too stiff to spoon.