Mix first 5 ingredients in a medium bowl until well blended. Season herb butter to taste with salt and pepper.
Build a medium-hot fire in a charcoal grill, or heat a gas grill to high. Place clams on grill rack and cover grill with lid. Grill until clams just open, 6–8 minutes (discard any that do not open). Use tongs to transfer to a platter, being careful to keep as much juice in the shells as possible.
Dot clams with herb butter; let stand until butter melts. Serve warm with lemon wedges alongside for squeezing over.
Recipe Source: BonAppetit.com