Step 1: Start by preheating your oven to 425°F. Pour the vegetable oil into a glass baking dish. (I used 12 inch square dish for this, although 13 by 9 would also work.) Make sure the oil coats all of the bottom of the dish.
Step 2: In a shallow dish (pie plate works great for this), combine the cornmeal, Creole seasoning, paprika, sugar, and black pepper. Mix until well combined and set aside. In another bowl, whisk together the egg and hot sauce. Set aside.
Step 3: Rinse the catfish fillets and pat them dry. Dip them one at a time into the egg mixture, coating both sides. Then move the fish to the cornmeal mixture, coating both sides. Lay the fillets in the oiled baking dish.
Step 4: Bake for 8 minutes, flip the fish, and return to the oven to bake for an additional 8 minutes. If your fillets are very thick, you may want to try 10 minutes per side. Move baked fish to a paper towel lined plate before serving.
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