I experimented with all sorts of fish finger coatings for DS. I made fresh bread crumbs, added seasoning such as paprika, tried dipping in tom ketchup (rather than beaten egg because I needed so little of something 'wet' to make the crumbs stick) before tossing in the bread crumbs. all sorts really. What I settled on in the end was whizzed cracker crumb. Any sort of cracker, a cream cracker will do or something like a 'chedders' or whatever. I keep any broken crackers from a pack for this job. I usually use a couple of different crackers thrown into a whizzer to turn into crumb. And I toss the fish straight in, no egg, no ketchup, nothing, just the crumb. This might not produce the thickest crumb (so it's a lighter coating because no egg dip first) but it is plenty for DS and also cuts down on the amount of time and prep for me.
So that's my tip
I also hear panko bread crumbs are the best ever but never used them myself. They were almost impossible to get here when DS was younger but I've seen them in some supermarkets more recently, although hard to find here because they put them with what I can only guess is american foods rather than with the breadcrumbs where they ought to be (IMHO).
Oven baked would be fine, so would grilled, but personally I'm not putting the oven on for 2 or 3 bits of fish finger. I fry them. Small non-stick pan, oil, fry for say a minute each side then drain on kitchen paper before serving. They turn out lovely and crispy. I used to use one of those cute one-egg pans as I only made a small portion each time.
Oh and those fish pie packs. Just in case you find you have too much. I split the pack and put say 4 pieces of fish per freezer bag and freeze them all so this way i can lift out one tiny bag of fish for DS when we are having fish of another sort (he has fish bites when we have certain fish, other times he has the same fish we have it depends on the fish).
