Those are awesome!
I roast them.
1) make a marinade: a cup of orange juice and two shots of tequilla, a couple of cloves of garlic, salt, pepper. Buzz this in a blender and place the leg of lamb in a gallon ziplock with the marinade. Keep it in the fridge for about 16 hours, and flip it over after 8.
2) Discard the marinade and wash off the roast (otherwise you get nasty rotten orange juice smells.)
4) Place the leg fat side up. Add a bunch of garlic cloves on top of it. Roast it at 425F for 20mins, then lower to 350F and continue to roast for about another 40-60mins.
5) Let it rest for about an hour to cool down, and slice it up. Yummy!
If it gets too cold to eat (i.e. the next day), I lightly sear it with some ghee in a pan and throw a bit of A1 on top to mask some of the lamby flavor.
The key is to get it cooked evenly. The way it comes wrapped from costco that is very difficult: there is a skinny section that will overcook while the very deepest inside part will still be rare.
Best thing to do is cut away the mesh wrap on it and unroll the whole leg a lamb. It will naturally be in 2 distinct, roughly equal size portions that you can easly cut apart so you have two equal size pieces. Salt and pepper the whole thing (aand rosemary and tyme if you like) then re roll those two pieces into two smaller rolls that will be more even and easy to cook evenly. tie with cooking twine - -nothing fancy just to hold together while you sear them.
Sear the outside, then roast put in the oven until the inside is about 140 degrees. Take the lamb out and let it rest -- the inside temp should continue to rise to about 145 from the hotter outer layers of the lamb.
There is a longer description of this method in Cooks illustrated which considered lots of different ways to cook boneless leg of lamp and found this the best.
By the way try to get bone in whenever possible -- much better for the marrow and cartilage etc. Alas costco only ever has boneless legs.
I just take the mesh wrap off and slice it into strips of lamb steaks. Then pan fry in copious amounts of coconut oil along with fresh garlic and lots of pepper. Cook to medium rare. What we don't eat immediately, we freeze in one ziplock for one meal for two.
Roasting the whole lamb at one time means refrigerating the left overs. I don't eat leftovers...because I only cook what is necessary for a meal for two.
Not on grill, it would take forever to cook through. Just roast it, and you can freeze the leftovers too. Or, you can do it as I do, roast some of it, and cut the rest in smaller chunks for stew, in bone broth and veggies.
I pepper the leg, then roast it with the time and temperature recommended by the package. I put it on a cookie cooling rack above a pyrex cake dish (I found a paleo use for baking supplies!) with the fat side up in the oven to let the fat drip off of it. I'd take it out of the oven pretty rare: as you reheat the leftovers, it'll cook to medium-well or beyond.
I make shallow cuts in the fat and between the bones and stuff the cuts with this mix:
Butter, little cubes of bacon, fresh mint or coriander, cinamon, fenel seeds, black peppers, onions, garlic and sea salt. Whiz it all up in the food processor.
Then I roast slowly in the oven and let some parsnips and carrots cook in the fat. My favourite dish in the world.
Cost Co lamb is unlikely to have a the lipid profile of its grass-fed cousins; steroids and growth hormones (also likely to be present) are stored in animal fat; so I'd suggest (in this case) you'll want to avoid as much of the fat as possible.
The above recipes are all great ideas; just pointing out you might want to trim the fat, and stick to grill-based recipes to get the best "healthy meal" out of this :)
Costco lamb chops 7 Answers
How do I cook a lamb shank? 8 Answers
Lamb steak makes me feel weird. 13 Answers