Raw is best, but they must be very, very fresh out of the water. Steamed and baked are good if done right.
If you are going to fry them, just don't waste your time.
I have taken a couple of classes that would be considered "training". However, it is very difficult to train by yourself if you don't have a good place to do it - and I don't. Most of my training is pin shooting and USPSA. I hope to take more classes htis year.