Simple recipe I found on the web a few years ago that I have been using:
Step 1Clean the woodcooks and retain their giblets, if you wish, to make a sauce or stuffing. Use tweezers or pliers to remove any remaining pinfeathers, and cut off the head and neck.
Step 2Preheat your oven to 400 degrees Fahrenheit. Woodcocks have little fat under their skin to protect the meat, so brush them lightly with melted butter and lay a strip of bacon over each breast. Pin it in place with a toothpick, then arrange the woodcocks in a casserole or baking dish.
Step 3Roast the woodcocks for about 20 minutes, or 25 to 30 minutes if the birds are especially plump. Remove the bacon halfway through the cooking time, if you wish, to minimize its effect on the woodcock's flavor.
Step 4Remove the woodcocks from your oven and let them rest under a loose tent of foil for 5 minutes, then serve them whole or halved on rounds of toast.