I've got an old recipe for red squirrel that suggests first skinning, gutting (guess they could get a bit gamey otherwise, but YMMV), then rubbing them in salt and pepper, basting with olive oil and grilling.
Sounds intriguing, though I would avoid the ones with warts just to be on the safe side. Unfortunately they (squirrels, not warts) are protected where I live :(
Biting the hand that feeds IT
