Step 1 Carefully unroll the grape leaves and rinse well under cold water. Blanch the leaves, a few at a time, in boiling water for 6 to 8 minutes until slightly softened. Remove to a bowl of cold water, then drain and pat dry.
Step 2 Place a leaf on the work surface, vein side up and stem facing you. Snip off the stem. Center a square of feta on the leaf. Fold the bottom up over the feta, then fold in the sides and roll up tightly, tucking in the sides as you go.
Step 3Run a skewer through the middle. Fill all the leaves, placing four stuffed leaves on each skewer. Brush the packets lightly with olive oil.
Step 4Grill over high heat, turning often, until the grape leaves are crisp and the cheese inside is bubbling, about 4 minutes. Serve immediately.