I was always taught to soak the sweetbreads in cold water, changing the water frequently until it runs clear. Then poach it in a white court-boullion, peel, and press. Grilling works, but dredging it in flour and sauteing in butter is great.
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Like the post above, was tought the same method, but after all "clensing" is done, do a final soak in cream. And yes, sauteed is the only way to roll on these, IMO.
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Nicko
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I can see no real difference in flavor or cooking when not soaked.
I do wash all organs before cooking though. I agree, cook in heavily
seasoned basic court bouillon after pulling membrane. I press while
cooling using 1/2 hotel pan as base, then perferated 1/2 pan with
sweet breads, then deep 1/2 pan full of beans, water, or wieghts
above. When chilled and pressed, slice and remove any veins or
foreign matter. Dust with flour and saute, the crispier the better.
IMOHO
Soaking removes any traces of blood, which, if left in, discolours the sweetbreads and when congealed (and cooked) leaves a slightly gritty feeling. Soaking is also necessary for marrow as well.
soaking sweetbreads in ice? 
