I've heard, at least with other crustaceans for consumption, that you shouldn't feed them for a few days before cooking them. It's not to clean the sediment out of their shells, but to clean out their guts. Otherwise if they've eaten recently they'll have a large amount of undigested/digested/on it's way out food(poop really). So by not feeding them you allow them to clean out their "pipes".
I could also see that keeping them in clean water(although I can't offer advice as to what to treat the water with to make it crayfish safe. Maybe those drops for fish tanks to rid the water of chlorine/etc. Also, I'm quite sure crayfish need a reasonable amount of turbidity in their environment, along with a small airstone(or other method of providing dissolved o2 to the water). Considering bottom feeders generally accumulate the most toxic material/heavy metals/etc. than other members of their aquatic habitat keeping them in cleaner water may help reduce some of this. Although, that is a purely hypothetical statement.
Good luck, oh one more thing..... after you boil them I've been told from a great friend in Louisiana that if you find one that is limp and tail isn't curled to avoid eating that one. Not sure why but we'd find one or two in an order of crayfish while at mardi gras.