I often eat chestnuts raw but unless they're very sweet they're not to everybody's taste . Yes, it's vitally important to split the outer brown skins first otherwise they will explode. If using a fan assisted oven I'd then bake them for about 20 minutes on a medium hot oven, let them cool and then remove the outer skin. The inner brown pithy skin should then also peel away easily. Eat sprinkled with salt and a little butter if you're eating them on their own, or you can mix them in with sprouts for main meal vegs, although I think the dried packets of sprouts which you first soak in water are much easier to work wit if using in this way..
If you want to cook chestnuts for nibbling in a microwave, split the outer skins first or cut them in two and cook them for about 4 - 5 minutes on medium high for about half a pound of them. It/s really important to split the skins if using a microwave. I once forgot to do this. The explosion was memorable and the inside of the microwave was totally splattered with tiny fragments of chestnut which was a nightmare to clean.
You will know when the chestnuts are cooked. They turn from a crunchy texture to a soft crumbling texture.
It seems to be a bad year for chestnuts Most of the ones I've bought recently have been rotten inside, so maybe it's best to cut the raw ones in two and then cook them so you don't invite disappointment cooking rotten ones.