Ah, my favourite food! But I prefer to just have melted butter over it, rather than Thermidor. Lobster has a delicate taste and I always feel any sauces can easily spoil this. As for how to kill it ... Here are some suggestions:
http://homecooking.ab...ood/a/lobsterkill.htm
When my father had a restaurant our chefs used to cook Maine Lobster, which was flown in live from Maine in the US for us every Friday. I remember they used to hold the head into the boiling water, killing the Lobster instantly, then dropping the rest of the body is a few seconds later. Just be careful not to burn yourself.