TW, it has been too many years since I shot my last woodcock and I have shot very few so someone else would be better qualified to tell you the difference in taste between them and snipe. In size a snipe is closer to a dove than anything else and I would also say that it is more like a dove in taste than anything else.
It seems like in recent years I have eaten most of my birds breasted out, skinned, and wrapped with half a slice of bacon. A couple of minutes on each side on either a hot grill or griddle is long enough. Cooked to medium works best for me. I usually sprinkle them with a little bit of Tony Chachere's creole seasoning but tucking a slice of jalapeno under the bacon is also popular. Another way I like them is in a casserole over some wild rice cooked with either cream of chicken or mushroom soup. I occasionally clean a few whole (with entrails removed) and I have stuffed them with everything from stuffing to fruit to shrimp before wrapping them in bacon.
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