Is sausage casing edible?
I also find them hard to chew when baked, but they are edible.  To make them easier to eat, you want to finish them up using a different method to get a crunch on the outside.  I find you can either:


turn the heat up in your oven at the end, or broil them
briefly pan-fry them after they're done cooking in a little bit of oil on a skillet (cast iron preferred)
grill them after baking


I usually boil or bake them first, or simmer them in some water in a pan on the stove (not enough to cover them, just enough to kind of steam them) and then finish them on the grill for best flavor and texture.  I'd recommend finishing on the grill over any other method.  

You can also completely cook them on the grill if preferred, but that can be a bit tricky if they're raw sausage and not pre-cooked, so keep an eye on them and make sure they're done completely throughout.

You can definitely remove the casings, and depending on what dish you're making that may be preferred.  However I have had success making an appetizing whole sausage using the above methods.