I love to grill mushrooms, especially big white cup mushrooms. I’ll put them top-side down in a baking dish and drizzle them with olive oil, then balsamic vinegar. I will also pour into each cap a touch of worcestershire sauce, and a touch of soy sauce. If you have a basting brush, it makes it really easy to ensure that the tops (face down in the dish) and sides also get a coating. Let the mushrooms marinate for a good 30 minutes before you grill, and then grill on medium heat, flipping once or twice.
Try not to cook these on a really hot part of your grill, because you want them to cook for about 20 to 25 minutes, and you don’t want them to burn. Your mushrooms will come out with a wonderful texture and rich flavor.