Brains and especially lamb ones are some of my favorite things.
Compared to calves' they're much easier to clean. You treat them similary to sweet breads. Some would soak it in milk first, that would give you more delicate flavor but is not necessery. After that it is est to lightly poach them lightly in a simple lemony boullion. Chill and use.
My favorite recipe is coating them in spiced bread crumbs(orange zest and coriander) frying and serving them with a sherry vingered lentil salad. The coating helps people to forget it's brains.
You can grill, sautte and bake them though. They taste a little fatty so they go well with chutnies or fruits. They can be pickled(1:1:1 vineger:water:suger boiled then poured over, chilled, strained) and mixed in salad. Cooked in tomato sauce and served with pasta. Grilled and server with mushroom cream sauce and polenta.