I love to Grill. I also like to use foil for small things, but I also like the interaction of the drippings and the flame.
The answer.. Use perforated aluminum foil...
I believe this is available commercially, but it is very easy to make it your self.
Step 1: Get a Sheet of Foil
Step 2: Fold It Several Times
Step 3: Use a Hole Punch to Perforate It
Step 4: Spray With Cooking Oil
Unfold the sheet, Spray with cooking oil... Throw away when done..