Heat a large skillet on medium-low. Add oil to the skillet. When the oil is hot, add sausage. Cook the sausage on the stove for 7 to 8 minutes. Turn to brown all sides.
Add the pepper and onion slices and cook 2 to 3 minutes or until desired doneness. (Check the center of the sausage links to make sure they're cooked through.)
Toast hoagie rolls if desired.
CHEESE SAUCE
Melt 2 T butter in a saucepan. Whisk in 2 T self-rising flour. Cook for 2 minutes. Do not let brown. Pour 1 cup of milk and whisk until smooth.
Bring to a low boil, then reduce and simmer until thick. (You'll need to stir it and make sure it doesn't stick to the bottom of the pan.) Add 2 cups shredded cheddar cheese and stir until the cheese is melted. Remove the pan from the heat source.
ASSEMBLE SANDWICH
Place sausages in buns and top each with peppers. Spoon over the cheese sauce and serve.