In a medium bowl, combine the mayonnaise, sage, lemon juice, mustard, cayenne, and Worcestershire sauce with a rubber spatula.
Add the two cheeses and pimientos, blending thoroughly to combine. Season with salt, pepper, and hot sauce. Refrigerate until ready to use. Spread between 2 slices of bread.
In a food processor fitted with the metal blade, a blender, or the jar of mayonnaise maker, combine the yolks, lemon juice, vinegar, mustard, salt, sugar, and cayenne. Pulse several times to blend.
With the processor running at high speed, or while quickly dashing the plunger of a mayonnaise maker, very slowly drizzle in the oil, allowing it to fully integrate as added until all the oil has been incorporated.