I'd give the frozen leg at least three days in the fridge to thaw, like you would a turkey. I haven't cooked leg of lamb in years because of the price, but growing up my brother and I always chose it as our special birthday dinner entrée. It's definitely best roasted to rare/medium rare; more done can be dry and tough. If making gravy be sure to skim off fat, as lamb fat tastes bad to most people, and may account for why so many people dislike lamb. Enjoy your treat, and happy Christmas!