It is a real thing. You have to collect them just after their first molt when they are white. I don't think you marinate them alive. Besides being a bit cruel their shells will harden if they are living still. Probably should freeze them right away then can cook them later.
One of my cats as a kitten loved them when they first emerged. He ate one later after its shell hardened. I didn't like to see him in distress but his hopping around trying to pass it was a little funny.