Bobbi,
I slice my zuchini, spray it with nonstick spray, cook it on the grill just for a minute or two on each side, and then take them off the grill and drop in a dish of parmesean cheese, shake them around until they are pretty well covered with the cheese.
Carolyn

PS I loose a lot in the bottom of the grill, and they are only really good freshly cooked, not served later.