The digitization of the energy infrastructure enables new, data driven, applications often supported by machine learning models. However, domain specific data transformations, pre-processing and management in modern data driven pipelines is yet to be addressed. In this paper we perform a first time study on data models, energy feature engineering and feature management solutions for developing ML-based energy applications. We first propose a taxonomy for designing data models suitable for energy applications, analyze feature engineering techniques able to transform the data model into features suitable for ML model training and finally also analyze available designs for feature stores. Using a short-term forecasting dataset, we show the benefits of designing richer data models and engineering the features on the performance of the resulting models. Finally, we benchmark three complementary feature management solutions, including an open-source feature store.