You're on the right track.
Grilling is definately the way to go. Lay them out on Aluminum foil, place thin lemon slices on top of the fish(not just lemon juice but the whole slices) with a few pats of butter. Season with what ever you'd like and double foil wrap them tightly.
I usually put a little garlic in the mix with fresh chopped parsly, a hint of oregano a little black pepper and on occasion a bay leave.
(Discard the bay leave when done).
Grill until done...Perfect every time.