1. Place 2-quart saucepan over medium heat, and add olive oil. Add onions and diced squash, and sauté until onion is soft but not browned. Mix 1 cup water with cornmeal, salt and cayenne.
2. Bring 3 cups of water to a boil, and stir in moist cornmeal as it boils. Add winter squash and onion. Reduce heat to medium, and cook 20 to 25 minutes.
3. Add Gorgonzola when polenta is thick and pulls away from sides of pan. Stir in toasted walnuts, and stir mixture again.