Soak sweetbreads in a shallow dish covered with milk. Set aside in a cool place or refrigerate for at least 4 hours to whiten. Discard milk, place sweetbreads in a saucepan, squeeze lemons over and drop in lemon shells as well. Add 1 tablespoon of salt, a pinch of pepper and cover with water. Bring to a boil, reduce heat and simmer for 10 minutes. Sweetbreads should be about medium when they are done poaching. Using a slotted spoon transfer sweetbreads to an ice water bath to cool quickly. Drain and pat dry.
To press sweetbreads, place on a large plate, top with another plate, and weight with several cans. Set aside, refrigerated, at least 4 hours. Sweetbreads should be pressed to 3/4-inch thickness to give them a nice, firm texture; if you don't press them enough they will be spongy.
To clean pieces, remove any excess membranes and veins from pressed lobes; leave pieces as intact as possible. If lobes are large, slice them in half horizontally. Sweetbreads are ready to use in any recipe.
Yield: 1 pound