Preheat oven to 400 degrees F. Combine all ingredients, except the tomato sauce and cheese, in a large bowl and mix until just combined. Moisten hands, and gently form mixture into 1-inch meatballs (you should have about 25) and place on a baking sheet. (Meatballs can be made through this step up to 24 hours ahead and stored covered in the refrigerator; let come to room temperature 10 minutes before baking.)
Bake until meatballs are warmed through and almost cooked, about 15 minutes. (Meatballs can be made through this step up to 1 1/2 hours ahead and kept in a warm oven until ready to serve.)
Remove meatballs from oven, toss with tomato sauce, and sprinkle with feta cheese. Return to oven and bake until meatballs are completely cooked, tomato sauce is warmed through, and cheese is melted, about 5 more minutes. Skewer meatballs with toothpicks and serve.