I've tried a couple of different ways, including just plain rinsing them in cold running water, and they're still so gritty!
Some good tips here: http://localfoods.about.com/od/preparationtips/qt/cleanmorels.htm
Just learned this from the cooking expert at the new Whole foods with the link to food52! He advised me that they can have a lot of grit inside as well as in the gills(?) on the outside so soaking and draining would get all of it. He recommended putting them in a bowl of water and moving them around gently then draining and repeating 4 or 5 times.
I guess I just didn't rinse them *enough*. I thought about putting them in a bowl of water, but I was conflicted, with all the advice not to get mushrooms wet. Ah, well. They were still delicious, if a little sandy.
I know! I did worry about that a little but I followed his instructions and it worked well. I put them on some paper towel over a tea towel to let them dry and very gently blotted them after.
Last year I bought some morels that were particularly silty. The recommendation was to soak and swirl in salt water. It worked amazingly well.