Prepare the grill for indirect grilling. If you are using a charcoal grill, light a chimney full of coals and pile them all to one side once they have burned down enough to product white ash on the top coals. You gas grillers have it easy, just light half of your burners. We want the hot side really hot, to product between 350 and 400 degrees under the lid.
Remove the outer few leaves from each head of cabbage, wash thoroughly and then quarter the heads. Start with the bottom and cut through the core for your quarters so that the core of the cabbage holds each section together.
Place the cabbage sections on a pan (to minimize the mess) with the cut part facing up.
Thoroughly whisk together the lemon juice and oil.
Brush the lemon juice and oil mixture over each section of cabbage, letting the juice run down into the leaves.
Generously season each cabbage section with the Kosher salt and black pepper.
Keep the cabbage sections facing up so that the lemon juice doesn't leak out and then place the sections on the cool part of the grill.
Close the lid and let them roast on the grill for about 45 minutes, or until the tops have a little char and the inside leaves are nice and tender. You may want to move the cabbage around about halfway through your grilling session so that all of them spend their time closer to the fire. The bottom leaves may get burned, but they are being sacrificed for the greater good of the cabbage. Besides, I like the burnt leaves myself.