In a heavy oven proof skillet (cast iron is NOT the best option – the sauce will take some of the seasoning off of the pan) over medium heat on the stove top, crumble the sausage and add the shallot. Cook until the meat is browned and the shallot is soft. Add the garlic a minute before the sausage is done browning.
Add the sauce and the crushed cayenne pepper and mix well. Continue to heat over medium heat until sauce begins to simmer. Stir the sauce well again.
Preheat the broiler on your oven. Crack the eggs, one at a time into a bowl to ensure that no egg shell is in the egg. Using a large spoon, make a divet in the sauce and pour the egg gently into the divet. It is important to keep the sauce simmering well. Do this repeatedly until all of the eggs have been added to the sauce. Allow the sauce to simmer, cooking the eggs. This takes about 7 minutes. Sprinkle the cheeses over the top of the dish - avoiding the tops of the eggs.
Place the skillet in the broiler for about 2 minutes to cook the tops of the eggs when it appears that the rest of the egg is poached well.
Serve with crusty bread or over grits. You may garnish with parsley if you please.
If you have never baked an egg, it takes slightly longer than you think. Check it by jostling around with a fork.