Preheat oven to 400°. Place butternut squash cubes and olive oil in shallow roasting pan; sprinkle with coarse kosher salt and ground pepper and toss to coat. Roast until just tender and beginning to brown, stirring occasionally, about 25 minutes. Reduce oven to 375 degrees.
Meanwhile, melt 3 tablespoons butter in heavy medium skillet over medium-low heat. Add sliced leeks and chopped sage and cook, stirring frequently, until tender but not brown, about 5 minutes. Set aside. Coat 2 quart rectangular baking dish with remaining 1 tablespoon butter. Spread half of leek mixture over bottom of prepared baking dish. Spread half of squash and dot with half of cheese. Repeat layering with leeks, squash, and cheese. DO AHEAD: Can be made 1 day ahead. Cover and chill.
Pour cream evenly over gratin. Sprinkle with remaining 1/2 tsp. salt and chopped nuts. Bake uncovered until gratin is heated through and cream is bubbling, about 35 minutes (40 minutes if previously chilled). Let stand for 5 minutes before serving.
Notes
This gratin is a good choice for transporting because it travels well. Either complete the dish at home (wrap it tightly to keep warm) or wait until you get to your destination to add the cream and nuts and then bake.