In general, it is a good idea to go light on spices when trying a new recipe, if you're not intimately familiar with the flavor and spice combinations in question. It's a great deal easier to add spice later than it is to mask it once you've added too much.
Assuming you are reading this because you didn't do that, and have now ended up with a sauce that's far too spicy, then read on.
The pertinent question here is where is the spiciness coming from? There are actually several kinds of compounds that can produce that general aroma and/or sensation. In most dishes they'll tend to fall loosely into one or more of the following:
Piperine, which is the active alkaloid in black pepper. This has poor solubility in water, however, it has better solubility in alcohol. If you can incorporate wine or better yet, brandy or vodka or some other strong alcohol, this can go a long way toward reducing the heat from pepper.
Capsaicin, the heat-producing compound in most types of hot peppers, is the highest on the Scoville Scale; extremely piquant and can produce a "burning" sensation in very small quantities. It is also poorly soluble in water, but is far more soluble in fat, especially oils. Adding some olive oil or a good quantity of butter to your recipe is a good bet for reducing capsaicin/capsicum heat.
Garlic, onion, and other members of the Allium family put out a volatile sulfur compound called Allicin. Although this is not "spicy" in the same sense as pepper, many people perceive it as such. Like piperine, it is more soluble in alcohol than in water. However, and here's the catch: That allicin breaks down into various polysulfides when cooked, and those polysulfides are fat soluble. So if you're trying to mask a strong garlic or onion flavour, it's best if you can add alcohol and fat to cover all your bases.
If you've added too much Ginger - another ingredient often perceived as spicy - then you're dealing with Gingerols and Shoagols, the latter of which pack a much bigger punch. One of the things you can actually do with ginger is cook the spice off which converts those into much milder Zingerone. In other words, add some water to the sauce and then boil it to reduce the sauce again - you'll lose some flavour but in the process you'll break down the ginger spice.
Alternatively (for ginger), all of the above compounds are alkali soluble, so if you add a buffering agent - say, Trisodium citrate (additive E331), it will improve the solubility a great deal. If, like most people, you don't happen to keep food additives in your kitchen, you can try using something like baking soda, but too much of that will completely ruin the taste, so be careful. In fact, don't add too much of any buffer because the acidity of most sauces is an integral part of their flavor.
I think that about covers it for common "spicy stuff" that goes in sauces. If you want to fix a dish that's too spicy, you need to know where the spice is coming from and choose what's most appropriate for that particular sauce.
You can also try to mask or balance the spice with something sweet, for example roasted vegetables or plain old sugar. That will not eliminate the heat at all, but does seem to make it more tolerable for many.