There's no right way or wrong way to enjoy your wings. Bone-in, bone-less, (although purists might argue that bone-less wings are nothing more than glorified chicken-nuggets), drumsticks, flats, lemon-pepper, buffalo, it's all wing-tastic.
But Burrow doesn't seem to be too worried about the money end. According to his teammate Ja'Marr Chase, Burrow would rather structure his deal to be able to keep good players around him.
If you buy crawfish from an actual retailer, chances are they have been purged, and are going to be great when cooked correctly. The vein isn't going to matter. Don't let it slow you down!