I like to season them, put a little butter on them and then put them in a foil boat with some ice cubes. Cook on med heat for about 10 min then pull them out and grill them for 30 sec.
Why wait! I tail fresh by sliding a knife under the carapice and around the under side to release the tail and then grill belly side down for a few minutes on high and then split 'em and grill again meat side down with a baste of limes and butter before tossing em into my head. Chase with copious amounts of cold beer and repeat.