Remove most of the marrow. Btw, you could put some peanut butter in the place of some of the marrow too. I wouldn't recommend cooking them, due to splinter possibilities.
I use bison bones, and I don't know what you mean by them being really bloody or anything, at all. Mine are just bones w/ a bit of meat still on them. Maybe try the ones from Whole Foods, where most of the stuff is removed?
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