Yeah, lamb hearts were a challenge for me as well. I tend to treat them Italian style in the way I would lamb tongue, which is to say "agrodolce" or sweet and sour. In addition to the recipe Nutcakes linked, Fergus Hendersons has stuffed lamb hearts in his wonderful "The Whole Beast"; UK title is "Nose to Tail".
There are only three chefs in UK worth paying serious attention to and Fergus Henderson is one of them. Gordon Ramsay is not.

Here's an idea
http://www.independent.co.uk/life-style/food-and-drink/recipes/stuffed-lambs-hearts-with-carrots-434333.html