1. Rinse collard greens. Trim and discard thick stems from bottom of collard green leaves (about 2 inches); place greens in a steamer basket over boiling water. Cover and steam 10 to 12 minutes or until greens are tender. Cool completely.
2. Bring milk and broth to a boil in a medium saucepan over medium-high heat. Gradually stir in grits. Cover, reduce heat to low, and simmer, stirring occasionally, 5 minutes or until grits are thickened. Remove from heat; stir in cheese and next 3 ingredients, stirring until cheese is melted. Let stand 5 minutes.
3. Place one collard leaf on a flat surface, and spread out sides. Spoon 1/3 cup grits toward bottom center of leaf. Fold one side of leaf over filling. Fold opposite side of leaf over filling. Beginning at 1 short side, roll up leaf tightly, jelly-roll fashion. Repeat with remaining collard leaves and grits.
4. Place bundles in a single layer in a steamer basket; steam, covered, 10 to 15 minutes or until thoroughly heated. Serve with pepper sauce.
Note: For testing purposes only, we used Louisiana Hot Peppers in Vinegar for pepper sauce.