A gherkin is not a gherkin until it is pickled, up until then it is a cucumber and you can eat it just like a cucumber.
If they have started to go yellow, then they are too ripe and will be bitter, so just chuck them, but otherwise just give them a go.
I am having the same problem, they only seem to be the right size of pickling for just 1 day, and my 5 plants don't seem to produce enough at any one time to have enough to pickle ???