A lot of people cook crab whole. I have always cleaned crab before cooking, whether I boil or grill. My suggestion is that you clean the crabs before cooking. By cleaning the crabs, I mean remove the top shell, and remove all of the lungs and guts (deadman). I do this outside with a water hose, pair of cotton gloves and a sturdy, short blade knife (pocket knife works just fine).
the link LYU posted is the pretty much the same as what I do, but here is my method anyway
http://www.ssentinel.com/index.php/rivah/article/the_great_crab_debate_to_clean_now_or_clean_later
1. First step, remove he claws. That way you don't get pinched when removing the sop shell. I like them boiled.
2. Then flip the crab upside down and remove the soft apron or flap with the knife.
3. Remove the top shell. I hold the crap in by right hand, my thumb right under the left point of the top shell. my left thumb is is holding the bottom shell mainly grabbing on to the smaller left legs. carefully pull apart. Don't worry, you will get the hang of it, and how hard to pull.
4. pull the lungs off of the soft inner shell and hose out the guts. Tear off the mouth and eyes.
5. You now have cleaned blue crab bodies. The soft inner shell is perfect for holding the meat on the grill. Season. Brush with butter as you grill. Awesome.
The crabs you have travelled a long way and probably are not long for this world. I would clean them if I were you. You can zip lock them until you cook them. You only have a day or two however. You can also freeze them, but they are better unfrozen to be honest.
My favorite way to eat blue crabs?
1. grilled. Season with Durkees zesty seasoning, old bay, Tony's or whatever you like, grill with a constant basting of butter/lemon/worchestershire mixture with some pecan smoke
2. Sartins BBQ crab style. As LYU linked, it is fried and is delicious. When I was a kid, we road tripped to Sabine Pass once a year for Sartin's BBQ crabs. A real treat. I still make them every year at home
3. Boiled. Especially the claws.
4. Gumbo. Crab bodies mainly flavor the broth. The meat out of the bodies isn't that great. But it isn't that bad either.
