We grill romaine quite a bit. I cut the heads in 1/4's leaving the root end in tact to hold it together. Depending on how big the heads are and what else you are eating you could just cut in half if you wanted to.
I take a plate and drizzle it with olive oil and roll the lettuce in it, add koser salt and cracked pepper and grill. For the romaine grilling gives it a nice nutty flavor - one moment past nutty and it has a nasty burned flavor!!! lol Just look for the some grill marks to be present otherwise you will just have "lettuce".
I also made a mixture of olive oil, cumin, salt, pepper, lime juice, maybe some other things too but this is all I can think of right now and used it to marinate some veggies before grilling and also used to roll the romaine in.
"Count yourself...you ain't so many" - quote from Buck's Daddy