The worst way to cook a bay scallop would be slow, moist cooking methods like braising, [as] it would remove all texture and flavor.
Overcooking scallops in any way is a sin.
I think the biggest mistake people make when cooking bay scallops is cooking them too long. When overcooked, they lose their sweet juiciness and become rubbery.
Also, I would not advise grilling bay scallops unless you have a very fine grate on your grill, [you] can equate it to grilling green peas falling through the grill!
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