Aldi recommends leaving these crab legs in the refrigerator for 5 to 8 hours, or, if you're in a hurry, running them under cold water until they're thawed. Once thawed, heating up these crab legs is a quick process. You can even cook crab legs in the air fryer. These crab legs pair well with a garlic butter sauce. Then, toss in the crab legs and cook them in the butter for 5 minutes.