DO NOT READ IF SENSITIVE TOWARDS ANY MYTHOLOGY. People may speak of eating your favorite beings, please be prepared for such.
To start off, While I am a pescatarian, I think biblical angels would be delicious fried / grilled, specifically the ones who aren't high enough to be abstract shapes, as I do not think I can stomach a wheel.
Charcoal grilled phoenix might be good! Maybe basted in some really hot chili sauce? Or maybe even as simple as a soy sauce based baste. Keeping the phoeinix moist with some basting liquid is probably a good way to keep it from burning.
I don't mind a deep-fried baby Phoenix tho.