I think braising is the best way to cook sweetbreads. It's certainly the lightest way, compared with, say, pan-frying them and serving them with a creamy sauce, which is how they often are prepared in restaurants. Here, I coat the sweetbreads (which, for the record, are the thymus gland of a calf) with cornmeal before searing them. This helps keep them crisp even when they are braising. You'll notice that the braising temperature, at 350 degrees F, is slightly higher than usual. This also promotes a crisp crust, and the dense flesh of the sweetbreads can take the higher heat. Since sweetbreads are mild and delicate on their own, you can cook them with almost anything and they will absorb the flavors. This recipe, seasoned with saffron and anise (and, optionally, fennel pollen) and spiked with pastis, was inspired by Provence.
The day before you want to serve this dish, trim the sweetbreads of any fat and veins (or ask your butcher to do this for you). Put the sweetbreads into a large bowl of ice water and refrigerate them for 24 hours, changing the water twice during this period. Drain and rinse the sweetbreads well.
Put a rack in the lower third of the oven and preheat the oven to 350 degrees F.
Using a small paring knife, make a small hole in each sweetbread and push a fennel stick into it. Use half a fennel stick, if necessary.
In a spice grinder, finely grind together the salt, fennel seeds, white peppercorns, fennel pollen, if using , saffron, cayenne pepper, and star anise. Season the sweetbreads with this spice mixture and roll each one in the polenta, coating all sides and shaking off any excess.
Warm the 2 tablespoons each olive oil and unsalted butter in a medium cast-iron pot or Dutch oven over medium-high heat. Add the coated sweetbreads, garlic, and fennel and sear until the sweetbreads and fennel are light golden brown on all sides, 10 to 15 minutes. Deglaze by adding the white wine and anise-flavored liqueur, bringing to a boil, and scraping up any browned bits stuck to the bottom of the pot. Let simmer until the liquid is reduced by half, about 5 minutes.
Add the chicken stock and tomatoes, bring to a simmer, transfer the pot to the oven, and braise, uncovered, turning the sweetbreads once, until tender, 30 to 40 minutes.