They are kind of tough fresh. If you skin them you have gutted them (there are no abdominal muscels), cut them into pieces and soak them for four days in light brine to let them tenderize. Then, as iddee says, roll them in flour and deep fat fry them. That's my favorite. Or you can get fancier with the breading and roll them in flour and then dip them in batter and fry them. Pretend they are shrimp with bones. :) You can cook them pretty much any way you would shrimp. Fried, grilled, baked, roasted on a stick...