Probably wouldn't hurt to soak them. If you do use a shotgun on them you want to really inspect the meat over well for pellets that may be hidden in the meat. That's one reason I generally only shoot them with a .22 any more. We have cooked them a few ways in the past. Like others, one way is to boil them for a while then brown on the grill with BBQ sauce. Also a crock pot is really a good way to go. Just pile the pieces in there, add Lipton Onion Soup Mix and cover with water. Let them cook all day and you will be able to pull out the bones. Great way to make stew. Finding all the little bones can be fun though, may need a strainer to pour the broth through back into a pan. Then sort through the meat pulling anything out that you cannot eat. After it's all back in the pan then add your potatoes and carrots, I recommend boiling them first to soften and then add.