Soaking the Menorah in very hot water with some Arm & Hammer washing soda (not to be confused with baking soda) works great if it�s not aluminum (then it�ll corrode). If it�s silver, I think the black engravings will come off as well. So I just use this for the kids brass menorahs, but it should work for glass or other metal etc. as well.
To clarify RD�s tip, you preheat the oven THEN TURN IT OFF before you put the menorah inside. I don�t think the paper towels are necessary, just in case someone mistakenly turns the oven on.