With the flat side of a knife, mash the anchovies to a paste. In a small bowl, whisk together olive oil, lemon juice, anchovy paste, and salt and pepper to taste.
Cut lettuces in half lengthwise, keeping leaves attached to cores. Brush all over with 1 1/2 to 2 tablespoons anchovy dressing.
Lay lettuces on a barbecue grill over a solid bed of medium-hot coals or medium-high heat on a gas grill (you can hold your hand at grill level for 5 to 6 seconds); close lid on gas grill. Cook, turning once, until lettuces 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 curls. Serve with lemon wedges.
Note: Nutritional analysis is per serving.