Not exactly. You use a single piece of bread and sort of use it like a hot dog bun, rolling it around into a U shape, in which the sausage and sauce sit. Traditionally only done at barbeques but in the UK we don't have the best weather so I'm happy enough cooking the sausages indoors and eating them in the same way.

EDIT: Many people have fried onion in there too but I'm not a fan.