Absolutely do not prick them, LOL. It's totally counterproductive if you want juicy sausages. All those delicious fats and moisture will just seep out, leaving you with dry, sad links.
IMO, the best approach is to cook them slowly over medium-low heat. This allows the casing to cook evenly and the fat to render internally, keeping the sausage plump and flavorful. Seriously, TBH, dry sausages are the worst, and as someone who watches macros, I need every calorie to be worth it taste-wise! :)