Baking them brings out their best qualities. (scrub well, poke a fork in one side and wrap in foil unless you want a mess in your oven) The time you bake them depends on the size of the potato, but 350 for an hour will do. They will feel soft when done. If you aren't eating them that way, then cool and scoop out the pulp, or peel off the skin. From there you can puree it for a pie, or soup.
Sweet Potato Fries:
Cut large 'steak' cut fries (or chunks, the style doesn't matter) and mound them in the center of a large, rimmed baking sheet. Pour on 1-2 Tbs. olive oil, grind pepper over (rosemary goes well with this) and pop into a preheated 425 oven. After 12-15 minutes, turn them over and cook another 10 minutes until they are puffed and golden with bits of caramelization.
Have fun with your exploration. Sweet potatoes are packed with excellent nutrition. 
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