How do you prepare Soft Shell Crabs?
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:


Their face. Just one snip should take off their mouth and eyes. You have to cut it at an angle.
Their gills. Peel back their shells and cut the gills off. There is a set per side.
The apron. This is the triangular tail like thing under the crab. Just turn it over and cut it off.


Then you can just dredge them in seasoned flour and fry in hot oil (375 F).

Update

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.