Letting your chicken come to room temperature before you grill it by taking it out 30 to 40 minutes beforehand is a good idea. It will not only help it cook more evenly but it will also keep it from sticking to the grill. Also, cold chicken can tighten up and become tough when it hits the hot grill. Similarly, the outside will cook faster than the inside, so you are liable to burn the outside before the inside of your chicken gets done.