Preheat oven to 400 degrees. Sautee mushrooms in olive oil with a pinch each of salt and pepper.
Combine shallots, oil and mushrooms in a food processor and pulse until almost smooth. Transfer to a bowl and season with salt and pepper. Add sage and mascarpone.
Pipe mixture into phyllo cups using a pastry bag fitted with a standard tip.
Chill for 10 minutes, then bake 7-10 minutes until golden brown. Serve hot or warm.