Grilling fish question

OK, here is the deal. I live on a lake and feed the bream off of my
pier, mostly coppernose and blue gill. They are really nice size and
I would like to get in the habit of catching a few for supper each
day, but need to find a simple way to cook them.

I have tried filleting them with both an electric and conventional
fillet knife, then pan frying them in olive oil. This is my preferred
method for taste. The problem with filleting them is that it yields a
pretty small fillet.

I am thinking that I would like to scale them, cut the heads off, gut
them and throw them on the grill. Has anybody tried this with any
fish about the size of a bream? If so, I would like some suggestions
on flame settings and approximate cook times. Also, any spices you
might add for flavor.

Thanks