tbone505 welcome to the board.
Out of all the topics that I've heard discussed over and over, you've managed to pick a new one! I've never had the desire to try calf fries/mountain oysters. Nope, never. I've been to parties where they were served, been offered some, but I'll stick with chicken.
That being said, I've never heard of them being grilled. Steven says everything tastes better grilled. I'll take him at his word.
Try your favorite beef marinade and go for it.