The problem with sauces, as with many other mainstream products, is the use of ingredients containing gluten as thickeners. Now if you're making your own (be it tomato-based, curries, creamy, gravies, etc) just substitute whatever thickening agent a mainstream recipe recommends with a gluten free alternative.
The easiest mainstream sauces to make gluten free are the basic white sauce or bechamel; using gluten free plain flour makes no difference to the taste and you still end up with a creamy, thick sauce at the end of it!
But the market for good quality, time-saving, ready-made, gluten free sauces has really taken off recently and there are plenty of options, covering all sorts of cuisines and tastes, in mainstream supermarkets and online retailers.
Always check the labelling as a lot of the mainstream brands do naturally gluten free sauces and don't boast about it; such as Dolmio who use cornflour in their Stir-In range. The majority of Homepride's traditional cook-in sauces contain gluten but some, such as their sweet and sour don't. If you're after something a bit spicier the majority of Patak's sauce range is gluten free, using cornstarch as a thickener, as well as Uncle Ben's Indian range. Unfortunately packet sauce mixes, such as Schwartz, contain wheat flour as one of their main ingredients.
Be very careful of Chinese sauces! Soy sauce contains wheat but there are gluten free alternatives readily available, such as Kikkoman's. The majority of ready-made Chinese sauces contain soy, barley vinegar, or use wheat as a thickener; Uncle Ben's oriental sauces, Blue Dragon, and Sharwood's Chinese range are all coeliac-UNfriendly. There are specialist gluten free brands you can try, such as Hampstead Farm or you can make up your own sauces using gluten free soy sauce and hoisin, like this from West Country Spice.
Some Thai sauces also contain wheat or soy sauce so do check, but a good brand is Thai Taste; they even do gluten free sweet chilli dipping sauce!
There are specialist brands creating gluten free sauces which are stocked in major supermarkets; Kelkin's, Meridian, Antony Worrall Thompson, The Black Farmer, and Potts.
Sausages, Burgers, and Meatballs
If life were really simple then these would all be naturally gluten free and be 100% meat; sorry but that's far from the case. All of these products normally contain rusk, which in turn is gluten-based, in order to bulk them out and help them keep their shape and texture.
As a general rule the more premium the product the more meat and less rusk they contain, so if you're willing to pay a little more you can get find some mainstream burgers and meatballs that are naturally gluten free, like these by Sainsburys and these from Waitrose. Unfortunately I haven't been able to find any mainstream sausage brands that follow suit, even those that have a very high meat percentage.
If you're making your own burgers or meatballs (or indeed sausages if you're a bit more ambitious...) try using gluten free breadcrumbs (soak dried breadcrumbs in warm water beforehand to soften them up!). You can buy gluten free rusk, like this from Doves Farm, but it's at a higher price; I recommend sticking to breadcrumbs.
Also remember to avoid sausage meat; it still has rusk in it! Make your own using fresh mince or use the meat from a gluten free sausage instead.
The good news is that there are some excellent specialist gluten free brands out there making high quality, competitively priced products. Try The Black Farmer for their excellent sausages, meatballs, and burgers; their pork and leek sausages won a Gold Taste Award in 2010 and they deserved it! Musks, Powters and Debbie and Andrew's also do sensational sausages.
You'll also find major supermarket chains do their own gluten free sausage varieties; like Asda and Tesco.
There are far fewer gluten free meatball brands out there (sausages have cornered the market somewhat) but you can get them ready to cook in sauces, like these from Look What We Found!. Alternatively, as I said before, look for high-quality premium products and check the labelling!