Yes, but I prefer them fried or sautéed with garlic, ginger, etc.

Assuming you're talking flat top grill (as opposed to flame broiler), grilling isn't much different from pan frying, except that breadcrumbs are typically omitted when grilling. A little salt and pepper, followed by a dip in flour and then a dip in egg wash, then straight on the grill. Flip after 45 seconds or so, then remove from grill another 45 seconds later. Eat.

If you're talking broiler (which is something I haven't tried), I would assume that would mean omitting the flour and egg wash, but adding some sort of cooking oil to keep the clams from sticking. Quick cooking would still be the rule.