Just scrub the shells and put them on the grate. Remove them when they open, discarding any that don't. The grill is a great way to handle the summer's bounty. My wife and I can make a meal out of a platter of grilled vegetables with nothing more than cruets of olive oil and balsamic vinegar, and crusty bread. In general, dense vegetables such as potatoes should be grilled at lower heat or they'll char too fast on the outside before they're done inside.
Softer vegetables can tolerate higher heat because they'll cook through quickly.
After thoroughly charring them, put them in a plastic bag to cool. Then peel, seed and slice or chop. The sweet ones are great with fat anchovies as a first course, in rice or pasta salads or by themselves marinated in garlic and olive oil. Hot chile peppers can be chopped for tomato salsas or mixed in other dips such as guacamole. If you've ever had sodden eggplant in eggplant Parmesan, grilled eggplant will be a revelation.