ShySmiley made these for me years ago, and they've been a Grill staple for me ever since. I toss the caps into a ziploc bag (individually, if necessary) along with:
balsamic vinegar
olive oil
garlic
dried basil
Toss the caps in, turn them every so often and let them soak.
Grill them
SS served them to me on a toasted bun, with goat cheese and avocado. Still my favorite sandwich!