In a 10- to 12-inch sauté pan, heat 2 tablespoons of the olive oil over medium-high heat. Prick the sausages all over with a pin, add to the pan, and cook, turning occasionally, until browned on all sides.
Pour off the excess fat, then add the tomato sauce to the pan, scraping the bottom of the pan to release any browned bits, and bring just to a boil. Season with salt and pepper to taste, reduce the heat to a low simmer, cover, and cook, stirring occasionally, for 1½ hours. Remove from the heat.
Meanwhile, bring the water to a boil in a medium pot and add the sea salt and the remaining 1tablespoon olive oil. Add the polenta, a little at a time, whisking constantly to prevent lumps. Cook, whisking constantly, until the polenta comes away from the sides of the pot, about 5 minutes. Turn the polenta out onto a clean wooden board or cutting board and allow to cool.
Remove the sausages from the sauce, let cool slightly, and then slice them. Set aside, along with the sauce.
Once the polenta is cook, cut it into strips about 2 inches wide using a butcher’s twine or a very sharp knife, and set aside.
Preheat the oven to 400 degrees F.
Cover the bottom of a 9-by-13-inch baking dish with a layer of sauce. Add a layer of polenta slices, then a layer of caciocavallo, a layer of mozzarella, and a layer of sliced sausage. Repeat the process until all ingredients have been used, ending with a layer of the cheeses.
Bake for 25 minutes. Let it sit for 5 minutes before serving.