Since you can't grill the muscles with the shell, I would by unshelled. Lay foil on the grill and cook til almost done and then finish without the foil.
I'm not sure you can grill muscles. Muscles are usually steamed. To steam them, add a little oil to a pan and let it heat. Add muscles to the pan, and then cover. Let steam 5 minutes until they open.
Well one good recipe require about 2 pounds or cleaned mussels in their shells. Then in a large aluminum roasting pan or similar vessel add 1/2 cup fresh lemon juice, one cup dry white wine, six tablespoons of butter, 1/2 teaspoon dried crushed red pepper, and two minced garlic cloves. Season with salt and pepper and mussel. Cock until opened.