As you can see in my picture above, I like to have a mound of hot coals in the middle of the grill and then place the wings around the outside of the main heat source in a ring. This allows me to slowly grill a couple dozen wings (or more) over indirect heat while avoiding any flare ups. The fat renders out of the skin and crisps up wonderfully. You'll never know they weren't fried aside from the fact that they will have great smokey, grilled flavor. I've managed to squeeze in 32 wings in this grilling venture.
After they come off the grill, you'll need to apply your favorite wing sauce. I make a mixture of regular Texas Pete and melted butter, maybe with a few herbs mixed in. Texas Pete has a great balance of heat and flavor. Wings should be spicy but not overpowering. I'm not into the "I have bigger balls just because I like hotter wing sauce than you" - that's crap. I want taste, not mouth numbing heat! Here I have a mix of about 1 part butter and 3 parts hot sauce with a pinch of dried thyme added in. Toss the wings and sauce in a large bowl and you're good to go.