Not really grilling but I suppose you could do it on the grill. Frying fish is great and all but it's kinda a pain the other night I googled "baked blue gill fillets" and this is what I came up with:
http://www.tasteofhome.com/recipes/bluegill-parmesan
Trying to cut out the bad stuff when I can so instead of butter I used olive oil, I told seasprite I'd also cut back on the herbs next time, they were good, but over powdered the flavor of the fish. A little dryer then fried but not bad at all, watch it around the 7-10 min mark so it's not over dry