In Vietnam we fry it in really really hot oil (so that the skin is crispy and it cooks through quick). I usually just roast it in the oven, basting butter and seasoning. Five spice + fish sauce/Chinese soy sauce + onion never fail (Chinese soy sauce: Maggi; not the usual Kinkoman Japanese soy sauce, althought hat would do, too. Chinese/Vietnamese and Japanese soy sauce taste different to me).
(if you don't have five spice powder, the components are usually star anise, cinnamon, clove, pepper, fennel. Usually just star anise and cinnamon would do!)
It's probably easiest to buy semi-boneless quail and pan roast- sear the breast side down in hot oil for 5 minutes, flip it, and finish in the oven at 400 degrees for another 3-5 minuites. Ideally you get the breast cooked medium, about 120 degrees internal. Then you can season any way you like. I've also stuffed ther cavities with fruit, say a fresh fig wrapped in prosciutto, wrapped the bopdy with a strip of foil to make it stand up (like a trussed mini-chicken), seared in hot oil, and roasted in the oven. Yum!
I agree with Chef Arik. Something good in the cavity, herbs, citrus or whatever. You might want to wrap the bird itself in prosciutto or bacon. Otherwise follow his advice.
Make a "looing" sauce. Soy sauce, sugar, water, sake, oranges, ginger, star anise. With enough liquid to cover the birds. Remove the birds, bring to a boil..put the birds back in cover the pot, turn it off and wait 20 mins. Remove the birds and let the skin dry (about an hour). Then dunk in hot oil for a bit---they're already cooked and flavored; you just want to crisp up the skin.
Use a length of kitchen twine under the wings to hang them up after the simmer do they dip dry.