1. Heat a grill to medium-high (450°). With the flat side of a knife, mash the anchovies to a paste. In a small bowl, whisk together oil, lemon juice, anchovy paste, and salt and pepper to taste.
2. Keeping leaves attached to cores, cut lettuce heads in half lengthwise. Brush all over with 1 1/2 to 2 tbsp. anchovy dressing.
3. Grill lettuces, covered, turning once, until they 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. Serve with lemon wedges.