Grilling vegetables is easy.
The fact that more people don’t do it is the strange thing. The general rule is to cut the vegetables into pieces that will cook quickly and evenly. All pieces should be of consistent thickness and no more than about 3/4- to 1-inch thick.
Soak vegetables in cold water for about 30 minutes before you grill them to keep them from drying out. Pat dry, then brush lightly with oil to prevent sticking.
Do not over cook and you’ll have vegetables better than you thought possible.
If you like grilling vegetables and want to try smaller things use a grilling basket to keep them out of the fire.
Source: bbq.about.com