Cut caps off brioches and empty them. Pick apart interiors and combine with finely chopped meat of smoked sausages and cooked ham. Add milk, cream and grated Gruyère, and cook over a very low heat, stirring all the while, until you get a very thick paste. Add pepper, and a very little salt (sausages and ham are already rather salty). All this can be prepared in advance.
When ready to serve: reheat the mixture, stirring constantly. When it is very hot, remove from heat and stir in cognac; fill brioches with this mixture, replace caps and heat in the oven for a few minutes until warmed through.