This works well with baking potatoes, sweet potatoes, or yams:
Under running water, scrub dirt off potatoes and rinse, then pat dry. Leave skin on. Pierce potatoes lengthwise with shiskabob skewers, then wrap in foil.
The skewer does two things: it pierces the potato so that steam can escape, and it helps conduct heat into the middle of the potato so that it bakes evenly.
Bake on a covered gas or charcoal grill. Turn the potatoes every 20 minutes or so. Sweet potatoes and yams should cook in 45 minutes; baking potatoes take about an hour.