It is often enjoyed as is after slowly steamed or baked. Its natural sweetness and ample fibers make it wonderful healthy snack choice especially during winter. Japanese yam looks reddish-purple from outside, and its inside is very bright yellow.
If you want to steam it, just steam it using the steamer. Don't cut or peel the yam before steaming. The key is not to let it dry, so if you are using microwave, wet the paper towel to its max and wrap the unpeeled yam with it, place it on a microwavable plate, and reduce the power level to about 60 (100 being max) for 6 - 7 minutes depending on the size. Peel the skin while hot with your fingers.
Making cookies using Japanese yams is a good vegan idea for it can provide softness and sweetness at the same time it helps to bind flour.
You can find Japanese yams at your local Asian stores or Whole Foods Market might have them.