Heat a grill to medium-high (450°). With the flat side of a knife, mash the anchovies to a paste. In a small bowl, whisk together oil, lemon juice, anchovy paste, and salt and pepper to taste.
Keeping leaves attached to cores, cut lettuce heads in half lengthwise. Brush all over with 1 1/2 to 2 tbsp. anchovy dressing.
Grill lettuces, covered, turning once, until they are softened and streaked brown, about 8 minutes.
Place lettuces cut side up on a platter. Drizzle remaining dressing over lettuces and top with manchego. Serve with lemon wedges.