I recommend not peeling them first, to retain all the water soluble nutrients - but be sure to rinse and scrub well. 

Then I like to preheat the oven to 350 degrees and prepare a baking dish - I take a large piece of aluminum foil - large enough to lay in the pan, put the beets in and then fold up into a sealed foil packet.  But you can simply put them into a baking dish also.

I cut mine into quarters - if you didn't peel them, leave them whole and you'll be able to easily peel them when they finish cooking and cooling - the skins should slide right off.

Either put a teaspoon or two of coconut oil in with them or drizzle with olive oil, season with sea salt and black pepper.  Seal your packet or cover your baking dish.  Then bake for about 30 minutes or so - just until they pierce easily with a fork.

Once they cool you can peel the skins off by rubbing gently and serve as a delicious side dish or sliced on to your salad.  Enjoy!

*Just be sure to wear gloves or you will get bright red stained hands! They also can stain wooden cutting boards so be aware! If your hands do get stained, lemon juice should remove the stains.