From
The Secret Life of Lobsters - How Fishermen and Scientists Are Unraveling the Mysteries of Our Favorite Crustacean - As far as the screaming goes spiny lobsters -- the clawless sort that live in the Caribbean -- are known to have a sonic muscle, and research is underway to see if they use sound for communication in any way. But when it comes to the clawed American lobster, so far scientists have found very little evidence that the animal produces any kind of sound. That said, occasionally scuba divers in New England do report hearing an intermittent clicking sound coming from a lobster den. As for a lobster making noise during cooking, a "screaming" sound could certainly be caused by steam escaping from one of a lobster's body cavities -- well after the animal is already deceased.
Back to Matt - I realize that doesn't help any with saving their life, but at least it should help dispel the screaming rumor.