Heat oven to 350 degrees. Whisk together the ¼ cup canola oil and bacon grease with flour in a Dutch oven or deep cast-iron skillet. Place uncovered in the oven and whisk every 20 minutes until the roux turns the color of melted chocolate. This should take about an hour and a half to two hours. Be careful not to touch the roux. It will be very hot.
As the roux cooks, remove the skin from the chicken thighs and sprinkle the meat with Cajun seasoning until it's mostly coated. In a large stock pot, heat the remaining 2 tablespoons canola oil over medium-high heat and brown the chicken, about four minutes on each side. You'll likely have to do this in batches because you don't want to overcrowd the pan, which will prevent browning. Once the chicken browns, you can brown the sausage for a couple minutes on each side if you'd like. Put the chicken and sausage on a plate as they finish cooking.
Once the roux is ready, pour the roux into the stock pot. Stir in the celery, green bell pepper and onion and cook for about five minutes. Stir frequently. Add the garlic and cook for about 30 seconds. If your Dutch oven is very large and can hold everything, you can put it on the stove and use that instead of pouring it into a large stock pot. I use a 7-quart Dutch oven and still pour the roux into a large stock pot to be safe.
Slowly stir in the chicken stock or water with Better Than Bouillon. Add in the 2 tablespoons Cajun seasoning, bay leaves, Worcestershire sauce, hot sauce, chicken thighs and sausage. Bring to a boil over medium-high heat and then reduce to a simmer over medium-low heat. Cover and simmer for about an hour and stir occasionally.
Discard the bay leaves and remove the chicken thighs using a slotted spoon and allow to cool until you can handle. Shred the chicken meat from the bones and stir the meat back into the gumbo along with the file powder and parsley. Taste the gumbo. If it needs more Cajun seasoning, add a little at a time until it suits your taste. If you'd like more heat, you can add cayenne pepper to your desired heat level. Keep in mind the flavors will bolden if you refrigerate it overnight. Serve over rice and with additional hot sauce if desired. Enjoy!