Make and bake the pie crust or use a store-bought pie crust. Turn the oven to 375 afterwards.
Brown the sausage in a skillet over medium heat, stirring and crumbling it up as you go. Paula Deen said to drain the fat, remove the sausage, then add 1 Tbs butter.
I just removed the sausage and left about 1 Tbs of fat in the pan. Add the onion and cook until soft. Add the milk and heat through, stirring, but try not to let it simmer or boil. Add the cream cheese and stir a bit, lowering the heat way down. Turn the heat off as the cream cheese melts a bit.
In a large bowl, whisk together the eggs, Worcestershire, salt and pepper. Stir in the shredded cheese, then add the slightly cooled onion mix.
Pour this into the prebaked pie crust and add the cooked sausage on top. Bake at 375 for 30 minutes or so, until the egg is set. I couldn't fit all the sausage in since I was using a smaller pie crust but you should be able to with a deep dish pie shell.