1. Using a small, sharp knife, slit open smelt bellies, discard innards, rinse fish, and pat dry.
2. Rinse fennel. Trim and discard stalks and bruised spots. Rinse, drain, and chop feathery leaves. Using a slicer, cut fennel into 1/16-inch-thick pieces.
3. Lay prosciutto slices flat. Lay equal portions of smelt across narrow width of prosciutto slices, then mound sliced fennel equally onto fish. Roll prosciutto to enclose fish and fennel, and secure with 2 parallel thin metal skewers crosswise through fish. Or cut prosciutto into strips. Wrap 1 smelt at a time with equal portions of fennel on a prosciutto strip. Thread crosswise onto skewers.
4. Lay skewers on a lightly oiled barbecue grill over a solid bed of hot coals or high heat on a gas grill (you can hold your hand at grill level only 2 to 3 seconds). Cook until smelt are opaque but moist-looking in thickest part (cut 1 to test), about 6 minutes; after 3 minutes, turn skewers.
5. Place skewers on a platter or plates and sprinkle with chopped fennel greens. Pull out skewers and add juice from lemon wedges to taste. Smelt bones are edible, if you like, but the skeletons can be lifted out whole and discarded.