I like to use a small hatchet and a small knife. Use the hatchet to remove the head and all the feet. With the small knife, make a small slit in the skin on the back of the neck to get it started. Holding onto the neck, pull the skin away from the body starting at the neck end. It should pull off like a sock if you do it while they're still warm.

After the skin is off, slit open the belly and remove all innards and other various parts that you do not want to eat.