I'd read that the gills go temporarily mushy when heated, and they should be placed top up to catch and dry any goo. I put them in the ashes under the fire overnight, and they were lovely and crispy this morning. I've put them in an air-tight container and will pop a bag of desiccant in there if I can find one.
I cut today's crop with their stems on, to have another go at air drying. If they're still not drying successfully, I'll fire dry them or freeze them. Stuck into holes in egg boxes, they make a little enchanted tabletop forest.