First of all, you can NOT dry roast them (I tried it and it's a disaster). Only Virginia Peanuts can be dry roasted, and the kind you get here in SF are some Chinese variety (apparently there are like 7 major types of peanuts and only 1 is the Virgina dry-roastable type). The dry roasting recipes are quite simple, however to get them well salted you would have to soak them in brine and then dry them out first, which makes that whole process rather a pain even if it was possible.
There are 3 ways to use these raw and "green" peanuts.
1. Fried. (aka "oil roasted"). Just put a bunch of peanut oil in a wok, heat it up. Toss in the raw (de-shelled) green peanuts and cook until they get nice and brown. Remove to drain the oil and salt them. Nice for chomping on; I did this and they turned out quite well. I like my peanuts very dark roasted which you can't buy in a store but you can do this way. Apparently this is the way peanuts are traditionally added to dishes like Kung Pao in China - the peanuts are not pre-roasted, the raw peanuts are put in the wok and fried like any of the other steps of a stir fry. Kung Pao recipe .
2. Boiled. Theoretically you can boil them just like you would a Virginia peanut. This is a traditional southern thing and produces a sort of soft but firm nut meat similar to a chestnut. (I haven't actually tried this yet) Boiling peanuts
3. In stews. Apparently this is common in China. You can just toss raw peanuts in as a stew/soup ingredient and cook like a turnip. It will theoretically again sort of come out like a boiled peanut. I've never had this at a restaurant or anywhere, so I'm interested to try it. Oxtail soup with raw peanuts
addendum much later : I actually have no idea what kind of peanuts they sell in the farmer's markets here. They are "green" which means not only raw but fresh out of the ground and moist. You cannot just roast a green peanut. Commercial "raw" peanuts have been air dried to preserve them. You can of course buy raw dried peanuts and roast them very easily.
Seperate from the farmers market issue, the Chinese stores all around SF sell raw (dried) peanuts. Those are in fact some different variety which is smaller and more oily, not a Virginia peanut.