release them. They never sprayed when they were released.
I'm under the impression that when a skunk dies (no matter how it is killed) it relaxes and it's spray comes out (I don't know for sure if that's true, but I would be very hesitant to kill a skunk just in case).
If you do decide to kill it, drowning it in a garbage can like Texas Hammer suggested is probably as good a way as any to do it.