1. With the flat side of a knife, mash the anchovies to a paste. In a small bowl, whisk together olive oil, lemon juice, anchovy paste, and salt and pepper to taste.
2. Cut lettuces in half lengthwise, keeping leaves attached to cores. Brush all over with 1 1/2 to 2 tablespoons anchovy dressing.
3. Lay lettuces on a barbecue grill over a solid bed of medium-hot coals or medium-high heat on a gas grill (you can hold your hand at grill level for 5 to 6 seconds); close lid on gas grill. Cook, turning once, until lettuces are softened and streaked brown, about 8 minutes.
4. Place lettuces cut side up on a platter. Drizzle remaining dressing over lettuces and top with manchego curls. Serve with lemon wedges.
Note: Nutritional analysis is per serving.