How to Make It
Heat the olive oil in a large, heavy saucepan. Add the sausage links and cook them over moderate heat until golden brown and just cooked through, about 10 minutes. Transfer the sausage links to a plate.
Add the onion to the saucepan and cook over moderate heat until softened, about 4 minutes. Add the fennel and thyme and cook, stirring, until softened, about 5 minutes. Add the stock and simmer over moderately low heat until the fennel is very tender, about 45 minutes. Add the zucchini, cover and simmer over moderate heat until barely tender, about 2 minutes. Discard the thyme sprigs.
Working in 2 batches, puree the soup in a food processor. Return the soup to the saucepan. Thinly slice the sausage and add to the soup. Season with salt and pepper and keep warm.
Preheat the oven to 500°. Arrange the baguette toasts on a baking sheet and top them with half of the cheese. Bake for 1 minute, or until the cheese melts. Ladle the soup into shallow bowls and top with the toasts. Sprinkle the remaining cheese on the soup and serve.