I've only managed to get hold of them once before! A delicacy. They should be about the size of a scallop and if you treat them as you would a scallop, you won't go far wrong. Best as a starter, I think.
Deep frying in tempura would work, I'm sure. When I cooked them, I pan fried them in butter and then added a little whisky to the pan, flamed it and stirred through some cream. Then I topped the dish with finely crumbled crispy bacon. There is one thing to look out for. Rather like monkfish tails they are covered by a thin membrane. If you leave it on, it will contract under the heat and the cheeks can get toughened. The fishmonger might have removed it though...