Immerse crabs in ice water. (This numbs them and makes them easier to handle.) To clean each soft-shell crab, hold the crab between the back legs. Insert a knife into brain at top of skull to kill it. Using kitchen scissors, remove head by cutting horizontally across the body 1/2 inch behind the eyes. Lift one pointed side of the soft top shell to expose the gills (the spongy projectiles). Using your fingers, push up on the gills and pull off. Replace the soft top shell over the body. Repeat on the other side. Turn crab over. Fold back the tail flap (or apron); twist off and discard. Thoroughly rinse crabs under cold running water. Pat crabs dry with paper towels.
In a shallow dish combine egg and milk. In another dish combine flour, salt, and cayenne pepper. Dip crabs in egg mixture; roll in flour mixture, coating evenly.
In a medium or large skillet heat 1/2 inch shortening or cooking oil over medium heat 365 degrees F. Carefully add two or three crabs, back sides down. Fry for 1-1/2 to 2 minutes or until golden. Turn carefully. Fry for 1 to 2 minutes more or until crabs are crisp and golden. Drain on paper towels. Keep warm in a 300 degree F oven while frying remaining crabs.