There are both commercial and home-made versions of it.
Commercial versions of the sausage are shaped in a long, very thick form, wrapped in cloth, boiled and then coated in bread crumbs. The meat used may include some beef and bacon in addition to pork. It is sliced and served as a cold sandwich meat.
Normally available only in the UK and particularly in Scotland, it is now (2006) being sold at Walmart in the States.
Home versions of it vary.
One home version of it uses sausage meat and minced beef in equal portions with a small amount of chopped fatty bacon, mixed with egg, and seasoned with onion, Worcestershire Sauce, salt and pepper. The mixture is formed into a roll and then either:
(a) baked in beef dripping,
(b) wrapped in oiled tin foil and baked; or
(c) wrapped in a floured cloth, simmered covered in for 1 1/2 hours in water, then cooled a bit, cloth removed and rolled in either in fresh or toasted bread crumbs.
You can also serve home versions hot, treating them as you would a meat loaf. Some versions meant to be served hot have you mix in the bread crumbs (or some rolled oats.)