You can certainly add sauce for these. During the last 2-3 minutes, either brush on the sauce like we did for the Grilled Asian Meatballs or do the "dumping method" by removing the meatballs from the grill and dip them in a bowl of sauce. Swish around and then place back on the grill. The heat will caramelize these and a second round of sauce would make it even better, giving it a thick, sticky glaze.