The best way to avoid Paneer from sticking to the grill or pan is through greasing. Greasing helps in forming a layer between the grill and Paneer pieces. When the layer forms, the pieces don't stick to the surface.  You can turn or remove such pieces easily from this type of surface. So, make sure you grease it well. Apart from that, you should also avoid making the marinade watery.  It should be slightly thick so that it holds well to the Paneer cubes.