You do have to 'clean' them. Besides just being mean to the poor crab, there's a few parts you need to take off.
Cleaning is very easy, although not for the squimish since it basically involves cutting the crabs face off. You also need to remove the apron from under the crab, and the gills, which are under the pointy part of the shell.
I don't think any midwesterner needs to do this, since I've never seen live soft shell crabs out here and the places that sell them will do it for you, if it isn't done already. I get my crabs at Davis Street (they do sell retail) Burhops, or if I'm desperate, Whole Foods.
As an aside, Once when I was in DiHo market, an Asian market on Dempster in Morton Grove, they had some very lively blue crabs (not soft shells) crawling out of their buckets and exploring the aisles. Those are the kinda crabs you want.