You throw them on some hot coals like in a charcoal grill or campfire and roll them around a bit. Only do a few at a time. Then you wait until they are hot enough, and they will spew a hot stream of smoke as they crack open, then roll a bit longer to toast and pick them out of the coals, cool a bit and smash with a rock to get to the inner shell. Then, crack the inner shell and enjoy!
If you have ever made smpcid apples, you get a similar product with the "cashew apple". You kind of stew them with water, sugar and a little cinnamon. Delicious.