I purchased "Live" Soft Shell Crabs and wanted to make a recipe that calls for frying them - what are the steps involved?
First, clean them. You basically just remove the stuff that you don't (normally) eat from a hard shell crab.
Using some kitchen shears just remove the following:
Then you can just dredge them in seasoned flour and fry in hot oil (375 F).
I found a video showing how: http://www.chow.com/stories/11245 He uses his hands for the apron and gills.
As far as "putting it out of it's misery", I'd go with the face cut first. It still twitches afterwards, but that's as good as it gets. If it really bothers you, I suggest eating something else, or having someone else prepare it for you.