Heat the oven to 400°F. On a baking sheet toss together the squash, shallot, oil, sage, salt, and pepper until well combined. Roast the squash mixture for 20 minutes. Stir the squash, clearing a corner of the baking sheet for the walnuts. Spread the walnuts on the sheet. Continue roasting until the squash is tender and the walnuts are toasted, about 10 minutes. Transfer the squash mixture to a medium bowl, and mash well. Let cool. Stir in the walnuts and blue cheese; mix to combine. Cover and refrigerate for 30 minutes or until completely cooled.