Our normal way to cook sweet potatoes is to bake them directly on the oven racks. The skin blisters just enough for easy peeling.
But this doesn't work so well for the smallest of the sweet potatoes; it is tricky to keep them from falling through the racks and their small size makes it hard not to overbake them.
So our favorite way to enjoy baby sweet potatoes is coat them with butter and salt and put them on a baking tray to roast. We then eat them, skin and all.