Ready, Set, Cook! Reynolds Wrap Contest Entry. I like grilling my fish with a "protective layer" of lemon because it ensures that the fish will not dry out, and the lemon will prevent the fish from burning on the grill. I find grilling fish this way foolproof, and good for first-time whole fish grilling. I personally prefer cooking fish whole because the flavor of the fish is much better than eating it filleted. A lot of the fish's flavor comes from its bones and head. The grilled bell pepper salsa is inspired by mexican salsa and italian roasted bell peppers. Dip your bread of choice and enjoy!