Put the pork belly in a food processor and blitz to to a medium-smooth consistency (too smooth and the texture becomes dull). Put the rabbit on a board and remove as much of the meat as possible from the bone with a small, sharp knife – you should have around 450g. Put it (and the liver, kidneys and heart, if using) in a food processor with the chopped pork belly. Blend to medium-smooth again. You may need to remove the lid and push the mixture down a couple of times with a spatula. Flop the mixture into a large bowl.
Preheat the oven to 160°C fan/180°C/Gas 4. Melt the butter in a frying pan and cook the onion and garlic with the shredded sage over a medium–low heat until the onion is soft. Add the sherry and cook until it has evaporated. Tip the onion mixture into the meat and stir together with a generous amount of salt, lots of black pepper and the nutmeg. (It is worth noting here that a lot of seasoning is needed to really bring out the taste of the terrine, as so many of them look good enough to eat but are bland in the mouth. Fry a little of the mix before cooking just to check the seasoning.) Slice the pickled walnuts and toss them very gently with the chopped parsley.
Line a 1.2-litre terrine, pudding basin or ovenproof dish with three or four sheets of clingfilm, leaving some overhanging the edge. Stretch each rasher of bacon on a board with the back of a knife to really flatten it out. This cuts down considerably on the number of rashers you will need and prevents the bacon overpowering the terrine. Now use them to line the terrine or dish, allowing the rashers to overlap slightly and leaving an overhang along the outside of the terrine. Put a third of the rabbit mixture into the terrine dish and then pave with half the walnuts, laying the discs flat-side down and side by side. Build up with another third of the rabbit, then the rest of the walnuts and finally rabbit again. Use the overhanging bacon to cover the terrine, working from one side to the other alternately, down the length of the dish. Cover with the overhanging clingfilm and a lid, or tight-fitting foil.
Put the terrine in a small roasting tin. Add around 2cm of just-boiled water to the tin and carefully place it in the centre of the oven. Bake for 35–40 minutes. The terrine is ready when a clean metal skewer inserted into the centre and left for the count of 10 feels very warm – but not hot – when pressed against your lip.
Lift the terrine carefully from the water, remove the lid (or foil) and cover the surface with a new quadruple-folded piece of foil. Place a heavy weight down the centre of the terrine to press it – if using a round pudding basin, put a snug-fitting saucer on top before weighting (it may take longer to cool in a pudding basin, so use the skewer method to check). Cool for an hour, then transfer to the fridge and leave for several hours, or overnight. Turn out and serve at room temperature in thick slices, with plenty of hot buttered toast.