So I don't have a particular way ;0)
I did once find them in the Netherlands though. I imagine I bit the heads off, then ate the bodies. I'm sure if I'd grown up eating them I'd have devised a suitably sadistic way to consume them.
Next question, how do you eat your Creme Eggs ;0) (I bite a bit off - increasingly from the blunt end - then suck the fondant out. Mmmm.)