You can soak them, you can give them straight from the bag.
However if you give them from the bag, break them up a bit. Some of them do clump together rather large and will be a choking hazard (this sounds like the back of a toy packaging.)
At the barn I used to work at, we would use alfalfa cubes as treats (breaking them down into less than 1 inch pieces thick.. usually 2cm) and we never had any cases of choking.
When the broodmare was in her last trimester (sp?) she got soaked alfalfa cubes with her grain.
So you can do it both ways, just be sensible about it (which I'm sure that you are )