A wild pheasant will tend to be drier and tougher than a farm raised bird, so when you cook it, make sure cook it at a low temperature - like 300 or 325 max. Or cook it using a moist method - like pheasant stew or something.
I had friends who hunted pheasant every year and they roasted theirs after soaking in a brine overnight. She roasted it for over an hour in a roasting pan with pototoes, onions and carrots. Alot like a turkey only alot smaller. She would od 3 or 4 at a time for the big family.
My dad hunted partridge (aka ruffed grouse) and my mom cooked it up in a seasoned broth, then de boned it and we had meat and gravy over baking powder biskets. Yum!
