Definitely add a cold brine soak in before cooking. If you have leftover feta brine that should do it.

Or salt water mix.

Min brine 2-3 hours. Probably I’ll try overnight.

I dont know of any other way to cook sweetbreads but fry.

Use EVOO, avocado oil, or duck fat with some flour, salt, black pepper.

After you cook serve with lemon.