Simply cut the tops off the fennel. Set a side olive oil and balsamic vinegar mixed and have some salt and pepper on hand.
Heat your grill to medium high.
Once the grill is to temperature, kill the heat and put the fennel bulbs on the grill. Gently brush some olive oil on and follow up with salt and pepper to taste. Close the grill and return in five minutes. Then flip the fennel and repeat the oil, salt and pepper.
How do you know when it's done? You should be able to drive a fork through the heart of the bulb with ease. The fennel should not be on the grill for more than ten to fifteen minutes. Just like all green veggies, the bulb should illustrate a deeper hue of its true color when cooked.