Their milk products are much lesser used, but they do get cream and whatnot from sow's milk. The pigs on Roshar produce more milk from years of natural genetic modification - breeding and whatnot - in the same way that humans have bred cows over the centuries. So they do have milk products. Some of their curries will have different types of cream. Whether they're dipping the crustaceans depends on the culture. For instance, Horneaters have teeth that break claws. Their back molars are different from standard human molars. To a lesser extent, the Herdazians have the same thing going for them. For those two cultures, they’ll chew the shells and eat them. For the Alethi, they're probably dipping the meat in a curry, or just preparing the curry with the crustacean meat in it. There are other cultures where they'll saute It or have a sow's milk dipping sauce or things like that.