Sorry to be a stickler, but they are not thorns, they are spines.
There are pretty much spineless varieties of Opuntia ficus-indica that were selected and propagated for their lack of spines - does not mean you do not get the occasional pad with some spines, like plantmanager says. However the main issue with eating prickly pear pads is the glochids rather than the spines, even most spineless Opuntias tend to still have glochids and those little hairs are way worse than just about any spines.
You would buy/harvest young O. ficus indica pads (or young pads from other known edible prickly pears) and then with a filleting knife just slice off all glochids/spines and then you can prepare them.
I have had them several different ways, the main thing to do is avoid getting them slimy which happens easily. I have had them pickled (and in salsas), (deep) fried, and grilled and in all those ways they have been good. I have had them in some soups in which they have been good, but those cooking methods all avoid getting them slimy, once they come out slimy they are not very good in my opinion... I have made them myself on the grill and that came out well - when grilling them quickly on high heat, low heat and slow tend to get them slimy.
