How to Make It
In a small bowl, soak the anchovies in cold water for 10 minutes. Drain, pat dry and cut them into thin lengthwise strips.
In a medium bowl, combine the piquillo peppers and liquid with the anchovies, onion, garlic, basil, oil, vinegar and capers. Season with salt and pepper and let stand at room temperature for 30 minutes or refrigerate for up to 2 days.
Light a grill or heat a grill pan or cast-iron skillet. Grill or cook the sausages over moderately high heat, turning, until browned and cooked through, 15 to 20 minutes. Set the sausages on plates and spoon the pepper salad alongside.