Scatter them to receive 62.5 Prayer XP. You can also take them to the Ectofuntus or use them at an altar in a player-owned house for increased XP, similar to bones.
Notes:
If you have an infernal urn (r) in your inventory, it will automatically collect these ashes as they are dropped. It takes 25 infernal ashes to fill an infernal urn. Teleporting a filled infernal urn grants 1875 Prayer XP, which is equal to 75 XP per heap of infernal ashes.