If you're serious about this:
(No, I'm not a "hillbilly" - at least, not COMPLETELY
, and this was not composed while listening to "Dueling Banjos".)
We used to hunt fox squirrels - they're bigger, like eating a smallish cottontail rabbit. Reds and Greys are just too darned small to be worth the effort. If you're used to hunting / eating rabbit, you can prepare them in about the same way, they'll just cook a bit quicker.
On the other hand, Pink Squirrels have been known to go-down good after a somewhat large meal at your favorite old-school Wisconsin "supper-club"
Skin & dress them, cut-off the head, feet, and tail. Skinning them works best if you separate the skin in the middle, then play tug-o-war with two people - to stretch the front skin to the neck and the back skin rearwards, like removing a tight shirt & pair of pants.
Quarter the carcases, and give them a light coat of salt & pepper.
Put them in a baking dish, and lay strips of bacon and onions over the top (keeps them from drying-out, and provides some fat to keep them moist).
I'm not sure about the exact baking temp & time, but I would think that around 350°F for a bit over an hour should work about right.
Some of this may sound a bit morbid to some of you, but if you like hasenpfeffer (German-style rabbit, you'll probably like this as well. As a matter-of-fact, you could probably use the same recipes, but again - expect the cooking to take a little less time.)