Stir together first 4 ingredients. Cover and chill until ready to use.
Scrub oysters under running water; discard any that are open and do not close within a few seconds. Grill oysters over high heat (400° to 500°) about 5 minutes, until shells open slightly. Pry off top shell, using oven mitts to protect hands from hot shells and liquid. Discard top shell; loosen meat from bottom shell. Top each oyster with 1/2 tablespoon butter mixture. Return oysters to grill; cook until butter melts and liquid bubbles. Serve immediately with lemon wedges.