No, each state did not hold a secession convention, though some did. Each state that pretended to secession had its own notion as to what process would be most convincing. None of them submitted a federal suit to the supreme court, which is the constitutional means to resolve controversies between the states and the federal government.
They all missed the one way that would have been legal. That was because they all recognized that they had no legal case. Rather, they planned to use force to support their insurrection. They lost.
The war saved lives. If the rebels had won, WWI would have had its branch in North America, and millions of US and pretended confederate soldiers would have fought and died then too. By contrast the 11 million killed in WWII had only about 100,000 US soldiers.
A legal way would be to amend the Constitution to provide for secession procedures.
The most fundamental problem for secessionists right now is that there are very few secessionists. Too many people are too patriotic. The most immediate danger for secessionists would involve the risk that their own neighbors might do them harm, particularly in a place like Texas.