The secret to successful orange roughy cookery is to not overcook it. Whichever of the following cooking methods you choose, your orange roughy will be cooked when its flesh becomes opaque but is still moist on the inside.
Place orange roughy in a greased baking dish and place on a baking sheet. Brush the fish with melted butter or oil and season with salt and pepper, cover with a sauce, or wrap in oiled foil. Bake in a preheated 450°F (230°C) oven, about ten minutes per inch (about 2.5cm) of thickness.
Place fillets directly on a greased grill, 4 to 6 inches (10 to 15cm) above prepared coals or fire. Baste with butter, oil, or marinade, and close hood of grill. Cook until opaque and moist on the inside, six to eight minutes.
Place seasoned and/or marinated orange roughy on a well-greased broiler pan. Broil under preheated broiler 4 to 5 inches (10 to 12.5cm) from heat source. Cook until opaque and moist on the inside, six to ten minutes.
Coat orange roughy with seasoned flour, crumbs, or cornmeal. Shake off any extra coating and fry in a small amount of hot butter or oil, turning once halfway through cooking time. Cook until opaque and moist on the inside, eight to ten minutes.
Pour oil into a wok or deep fryer; it should be at least 1 1/2 inches (about 3.8cm) deep, and the cooker should be less than half full of oil. Heat oil to 375°F (190°C), using a thermometer to monitor temperature. Cut orange roughy into similar-sized pieces, about 1 1/4 to 1 1/2 inch (about 3.2 to 3.8cm) thick. Dip in batter, drain, then slip pieces into hot oil. Cook until brown, two to three minutes.
Bring poaching liquid, consisting of water, broth, and herbs and spices, to a simmer. Slip in orange roughy, then cover pan and keep liquid at a simmer for about eight minutes per inch (about 2.5cm) of thickness.
Place orange roughy on a greased perforated rack over 1 to 2 inches (about 2.5 to 5cm) of rapidly boiling water. Cover with a tight-fitting lid and keep water at a constant boil through cooking time, eight to ten minutes per inch (about 2.5cm) of thickness of the fish.