If they are written as letters, read them as letters. "E.g." is spoken as "eee gee."
DO NOT expand them into the Latin words they stand for, that would be weird and would not be understood.
The only exception is "etc." which you should read as "etcetera," and which is a common expression in ordinary spoken English which everybody understands.
As to whether to substitute the common English phrases, it somewhat depends on the audience. I think it's acceptable, and even a good idea--unless you are speaking is a very formal context where you are making a point of reading the words exactly.
If the text you are reading contains these written out in full Latin words you can just pronounce them whatever way pops into your head.
There is a cultural detail. In the 1800s and into the early 1900s, members of the elite in England and the US were supposed to learn Latin; it was actually an entrance requirement for universities. So up to, perhaps, 1950, knowing some Latin, using Latin phrases, making literary allusions to classic Latin works, and so on, was a marker of class and social standing. This is not true any more.
Academics who reads a lot of material that use expressions "i.e." and "e.g." and "et. al." and "ibid." are familiar with them. Nonacademics are not and may actually not know them.