There aren’t really a lot of “tricks” to cooking the sausages, any way you are comfortable with will be fine. Can be grilled over either direct or indirect heat, pan seared works great as well. Generally speaking, when they are nice and brown on 2 sides, they are ready to go. The one tip I would suggest, especially over direct heat on a grill, is to prick the casing 2 or three times. Just use the tip of a knife, or even a toothpick- all you want is a tiny hole. This will allow the steam to exit the sausage without splitting the casings.
PS: if you do split the casings, just put that side down on the plate and keep quiet! All will be well.