I have never baked the pumpkin but boil it or steam it on the stovetop like you do for boiled potatoes. I leave it sit in a colander for an hour or so as it cools after it is soft - with a bowl underneath to collect the moisture - then I press the pumpkin to get all the moisture out of it - always works well - I might try the baking method to see if there is much of a difference. I love using fresh pumpkin. After I mash the pumpkin I let it sit in a colander once again to make sure all the excess moisture is out.

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