In general you should grill fillets with their attached skin. This natural protection keeps the fish juicy.
Fish with more fat such as salmon, trout, zander or sea bass are suited better for grilling than others.
Lubricate the fillet a little bit and put it then gently on the grill. In order to achieve the perfect crust you should first grill the side of the fillet with the skin on it. This side should be grilled the longest. After the meat is well done to 2/3 you can turn it and finish grilling it.
In case you don’t have fillets with skin you can always take advantage of a grill dish. This also prevents the fillets from sticking to the grill and keeps it juicy.