I can't say from experience, but have been told that red squirrel isn't that great because it is an omnivore and eats everything. It can get pretty gamey. Grey and black squirrels are more herbivores and so are milder in flavor. But still... I know that rabbit and grouse are herbivores as well. And depending on what kind of woodland I get them in, they can be very mild, but flavorful, or very gamey, especially if they've been feeding on pine of any kind. Fortunately for me, I don't mind that "wild" taste. Just remember that squirrels are all fur, with a little meat on them. They also run and climb and jump all the time, which means well exercised muscles. I'd think stewing, or cooking over a slow fire with lots of basting might help. Let us know how you prepare them, and how they turn out.
Seeeeeeya; Goodweed of the North