This dish is best made using small squid with bodies no longer than 4 inches. You can buy good-quality frozen small squid in 5-pound packages.
Soak twelve 8-inch wooden skewers in water for about 20 minutes. Cut off the squid tentacles in 1 piece. Cut the bodies crosswise into 1-inch rings. Thread 3 or 4 pieces of squid body onto each skewer and finish with 1 or 2 tentacles.
In a small bowl, using a fork, mash the anchovies with the butter until blended. Stir in the lemon juice and season with salt and pepper.
Light a grill or preheat a grill pan until very hot. Brush the squid skewers with olive oil and season with salt and pepper. Grill over a hot fire or over high heat until lightly charred and just cooked, about 1 minute per side. Transfer the squid skewers to a warmed platter and dab them generously with the anchovy butter. Serve the skewers at once.
Wine Recommendation: A sparkling wine with very crisp acidity will balance the saltiness of the grilled squid as well as the potato puffs in the recipe below. Try either the clean, lemony, creamy Nonvintage Nino Franco Prosecco di Valdobbiadene Rustico or the full, bone-dry 1994 Gini Brut Gran Cuvée Millesimo.