Preheat oven to 400°F. Line a large baking tray with non-stick baking paper.
Place half the squash, cut side down, on a chopping board. Align a chopstick lengthwise on one side of the squash. Using a very sharp knife, carefully slice through the squash to the chopstick at ¼ inch intervals. Repeat with the remaining squash half.
In a small bowl, whisk together 4 tbsps of olive oil and honey until combined.
Place the squash halves on the tray—cut side down—drizzle with olive oil-honey combo, and season with salt and pepper. Cover tightly with aluminum foil and roast for 50 minutes.
Mix the sage leaves with the final tablespoon of olive oil.
Remove the tray from the oven, place the sage leaves in the incisions, and scatter some on the pan. Roast the squash for 10 minutes or until tender and golden.
When ready to serve, transfer the squash and sage leaves to a serving platter, scatter toasted walnuts and crumbled gorgonzola over the top, and drizzle with extra honey.