I almost alway's fillet mine,BUT,I occasionally keep some small one's and do like you said.I will cut down each side of the dorsal fin just enough to break the skin,when you fry them it's easier to bust them open and flick the bone's out from the inside with a fork.That's the way my great uncle taught me year's ago.Also alot of people think the tail fin fried crunchy is the best part.I usuall do this to remember him a few time's a year.