Clean fish (steps 1 and 2 of “You Found the Fish,” below). On both sides of each fish, cut 2 diagonal slashes through flesh just to bone.
Combine achiote paste, 1/4 cup lime juice, the orange juice, 2 tbsp. oil, 1/2 tsp. cayenne, and 6 tbsp. chopped cilantro in a large bowl. Add fish and rub all over with marinade, working it into slashes. Chill 1 hour.
Heat grill to high (450° to 550°). Drain fish and rub with remaining 1 tbsp. oil. In a bowl, combine pineapple, onion, salt, remaining 1 tbsp. lime juice, 1/8 to 1/4 tsp. cayenne, and 1/4 cup chopped cilantro; chill salsa until used.
Oil cooking grate, using tongs and a wad of oiled paper towels. Grill fish, covered, until marks appear and fish release when nudged with tongs, about 3 minutes; gently roll over and cook other side, about 2 minutes. Using a wide spatula, transfer fish to a board.
Serve fish whole and let diners fillet their own (see step 4, below) or fillet fish in the kitchen and set on a warm platter. Serve with salsa, tortillas, and cilantro sprigs.
You Found the Fish–Now What? Some markets will clean them for you, but if not, you can do it yourself easily enough–it just takes a little practice.
SCALE AND CUT. Scrape off the scales gently with fingertips. Cut through both sides of belly 1/4 in. from edge, from collar to tail.
CLEAN. Pull out the guts; rinse the fish inside and out. Snip off fins.
FILLET (RAW). Score fish all the way around collar just to the bone. Slide your index finger into cut on one side of collar and your middle finger into the other side. Slide your fingers along spine to tail, pulling fillets free. Cut off tail and pull out any remaining bones.
FILLET (COOKED). Make 3 cuts through flesh to bones: along the length of the spine (to one side of it), at collar, and just above tail. Slide knife under fillet to free it from spine, and lift it off. Pull up tail and lift off spine and head to free bottom fillet. Pull out any remaining bones.
Note: Find these little fish at some grocery stores, fish markets (you might need to order them), and Asian markets. If you live near a coastal town, head to the docks-fresh anchovies and smelt are often sold as bait. Look for fish with bright eyes, shiny skin, and a mild aroma. They’re very perishable, so plan to cook them the same day.
*Look for achiote paste in your grocery store’s Latino foods aisle or at Latino markets.