1. People in my town eat fish a lot, but we eat only fish heads.
2. People in my town eat fish a lot, but they eat only fish heads.
(Which one do we have to use, 'we' or 'they'? Are they the same? Is there any difference in meaing?)
If, in the other sentences around this one, it's clear you are telling about yourself and others (so the use of "we" makes sense), then #1 is fine.
If you are clearly telling about what other people do, not including yourself, then #2 is correct.