I recommend scaling them, leaving the skin on, and filleting them off the bone by hand. The skin helps the meat hold moisture and adds flavor.
Another thing I tried this weekend was cooking bream and white bass "on the half shell", where you fillet each side off the bone, leaving the skin and scales on the side. Then you simply season the top of the meat and throw them scales-down on the grill.
The meat stays moist and the scales protect it from breaking apart on the grill surface. Whether you cut the rib bones out ahead of time or pull them off by hand is up to you. Bream have a simple bone structure, and their ribs are pretty easy to remove.
We tried them with Greek, Cajun, and "Kick'n Chicken" seasonings, and liked the Greek and Cajun styles the best. Pepper and seasoning salt is also a reliable standard.