May not be "grilling them" by definition - but it is one way to cook them on the grill!

I put fillets into an inexpensive aluminum tray and with the grill lid closed - slowly simmer them over low heat - continually basting them with butter or EVOO. Use your favorite steak seasoning. I also use lemon sometimes.

Move the tray around - it will "burn off" the grill residue, while the smoke created will slightly flavor the fish as well.