Prepare the grill for indirect cooking at 350 to 375°F.
Place the whole squash in the indirect zone with the hood closed. Cook until softened, about 45 minutes, turning once. Remove from the grill and allow to cool. Cut the squash in half. Remove and discard the seeds.
Hollow out the squash, reserving the flesh and leaving between 1/4" and 1/2" of flesh all the way around. Coarsely chop the squash you removed from the shells. Melt the butter in a large skillet over medium heat.
Add the leeks and sage, and sauté until the leeks start to become transparent. Add the rice, lemon zest, cranberries, walnuts and squash to the skillet and stir gently to combine. Season with salt and pepper.
Spoon the rice stuffing into the hollowed-out squash shells and return to the indirect zone on the grill. Heat the filled squash with the hood closed for about 20 minutes. Serve warm.