Yes directly on the grill. For large potatoes I put them in the microwave for around 5 minutes depending on how many you have. I usually do about 4-5 large ones. Now they have started to cook. Then just slice them in half. Spray some Canola oil on them(non stick cooking spray) or even brush on some cooking oil. Leave the skins on of course. This will help them get crispy on the outsides. Put them right on a hot grill. Cook them as long as you want,both sides. I like mine almost burnt. Now they are ready. Kill them with butter,salt,pepper.
We have done the foil wrap way also with peppers and onions. That way is more of a steam cook though. I like the open on the grill way better.