I've never tried eating winter melon raw, I've always used it it to make soup. Here's typical Chinese recipe for Winter Melon Soup (but I use chicken stock to cook the melon in instead of adding it at the end). The melon itself is quite bland, but when cooked takes on the flavors of the broth.

Asian markets sell winter melons whole or in quartered pieces and you can give it a try. I buy the quartered pieces myself since some are quite large and I don't need that much.

lali

I bough a quarter few days ago and made soup with pork neck bones, carrots, onions, ginger, turmeric root, lemon grass, tomatoes. The reason I bought it was that I had the impression that it is Shark fin melon.
When cooked, I did not find pronounced strands in it. But the soup was good.

Asian terminology sometimes can be confusing to us. What we call melon are sweet and eaten row. Asians call some squash and pumpkins "melon". Another one is bitter melon, which is a bitter squash/cucumber. Yet anothe one is called "fuzzy melon" which again is a squash to me.

The Wax Gourd, White Gourd, Tallow Gourd, Ash Gourd, Gourd Melon, Winter Melon ( Benincasa hispida) is normally a large gourd.
Most cultivars are the size of a standard watermelon. Soup seems to be the most prevalent use. Some reference is made to candied desserts, but I have not found a recipe

Here is a link that might be useful: Wax Gourd Cultivars