>>14677 Normal cheese is not made for grilling, halloumi might work depending on whether your barbecue is coal fired or a gas affair and how well you control the temperature.
For your average coal fired barebecue, I'd avoid cheese as anything other than a last minute topping. If you're doing bread or most vegetables, sod the news and use tin foil but keep an eye on the heat. If the foil starts curling or discolouring it's too hot.