1. To skin catfish, using knife or scissors, cut off the sharp fins. Make a cut through the skin around the catfish's head. Peel skin away from flesh around head; using paper towel to grasp skin, pull skin firmly toward tail to remove it in 1 piece. Cut off head.
2. In a plastic bag, combine cornmeal, flour, salt, and pepper. Into pie plate, pour milk. Dip catfish, 1 at a time, in milk to coat them well; drop into plastic bag. Shake to coat evenly with cornmeal mixture. Place coated catfish on wire rack over waxed paper to dry 30 minutes.
3. In 10-inch skillet over medium heat, heat about 1/2 inch salad oil to 370°F. on deep-fat thermometer. Fry 3 catfish at a time in hot salad oil until golden, about 8 to 10 minutes, carefully turning fish once.
4. When cooked, remove catfish to drain on paper towels.