Step 1: Chop and roast squash
Now, get out a big cutting board and your biggest knife or cleaver. Wash the squash, and hack away; be careful, since they can roll on you. The sooner you can get a flat surface on the cutting board the safer and happier your fingers will be.
You'll want pieces small enough to fit into a baking dish. They can be taller than these, but you need to be able to cover them in foil. Most things work, so don't stress about it.
Spray the baking dish with canola oil, add the squash chunks, spray them too, and cover the whole thing with aluminum foil.
Bake at 350 until you can easily stab the flesh through with a fork. They will be a bit caramelized at the edges.