Prepare grill for medium heat.

Oil grate. Place mushroom caps on grill. Mushrooms cooked over the grill will cook very fast and become dried out, so move them around the fire for better heat control - don't let them burn! You can let them blacken a little bit on the edges for extra flavor. As the edges begin to toast, add a sprinkle of Parmesan cheese to each mushroom, and lit it melt. Serve and eat immediately!