Scrub and rinse oysters thoroughly in cold water; drain.
Place 1 to 2 dozen oysters at a time on grill over medium-low coals; cover with a damp towel. Cover and cook 5 to 10 minutes or until shells begin to open.
Using an oyster knife, remove top shells, and sever oysters from half shells. Serve on half shells with Spicy Cocktail Sauce.