Partially cook and cool the pie crust according to instructions on the box. Preheat over to 375 degrees. In a heavy skillet over medium heat, cook and crumble sausage with a fork. Saute the sausage until completely cooked. Drain off the fat. Put sausage on paper towels to remove more fat. Set aside.
In another skillet over medium heat, melt the butter. Saute the onions in the butter until tender. Add the milk and heat until steam rises, but do not boil the milk. Cut cream cheese into small pieces and put in the microwave for 10 seconds to soften. Add to the onion mixture and remove from heat. Keep stirring until the cream cheese melts and the mixture becomes smooth and creamy looking. Set aside to cool.
In a large bowl, beat the eggs until smooth. Add the cheddar cheese and stir. Using a whisk, slowly add warm the (warm, but not hot) onion/cream cheese mixture to the eggs, stirring constantly in order to not cook the eggs. Add the Worcestershire Sauce, salt and pepper. Mix thoroughly.
Place the sausage into the pre-cooked and cooled pie crust. Pour the egg mixture over the sausage. Bake for 30-40 minutes, or until set.