Rinse the clams. Once you bring the clams home, store them in the fridge on a bed of ice, but not in an airtight container--clams need to breathe. Before you plan to cook the clams, soak them in a large bowl full of cold water for 15 minutes. Scrub the shells lightly if they're dirty. Drain and rinse the clams.
Prep and preheat the grill. Before using your grill, make sure to clean the grates of any food and debris. Lightly grease the grates with nonstick spray. Set the temperature to medium-high. Close the lid and wait until the temperature reaches 450 F.
Make the butter sauce. Combine all the spicy butter sauce ingredients in a cast iron skillet, including the lemon wedges. Place the skillet directly on the grill and close the lid. Let the sauce simmer for 10 minutes. Remove the skillet and let the sauce cool slightly while the clams cook.
Grill the clams. Place the clams directly on the grill grates in an even layer. Try to make sure the clams are laying flat. Close the lid and grill 8-10 minutes, just until the clams have opened. Discard any unopened clams. Use tongs to transfer the clams to a bowl, taking care to not spill the clam juices.
Toss with the butter sauce. Toss the clams with the butter sauce and transfer to serving bowls, drizzling any extra sauce over the clams. Serve with lemon wedges and grilled bread for sopping up the juices.