In the hispanic culture sweetbreads (mollejas de res) are usually found further south, towards the border of Texas for example. They are classified as beef and are usually cooked by pan-frying or grilled. The flavor is distinct, unusual and very good by my standards. My mother would braise them while we were at church so that they were ready when we got home from service. They have a nutty, mellow, flavor that taste unlike any other part of the cow (or anything else for that matter).
I braise and grill sweetbreads as grilling is a little tricky since the window between undercooked charred is very small.
I wish you luck and recommend you at least try them as exploration is one of the truest forms creation.