When they are that small, you can cook them without peeling. Cut them up and cook them as you would any squash.
But this is my favorite use for them: Cut off the top inch of the stem end and hollow out the squash, leaving walls about 1/2" thick. Take the squash that you removed and add seasoned meat, breadcrumbs, other veggies ... whatever strikes your fancy. Stuff the squash "bowl" and bake at 350 until done (depends on what you stuffed it with). Top with grated or shredded cheese the last few minutes of baking. If you ever make stuffed bell peppers, you can do the same thing with the squash.