Pre-cooking: Simmer the baby octopi with the other ingredients in enough water to cover for about 15 minutes. (If using mature octopus, double the pre-cooking time.) Let the octopi cool in their liquid.
Marinade: Drain and cut the octopi up into 3 or 4 pieces, leaving the tentacles intact. Place the octopus pieces into a bowl with the marinade ingredients. Mix well and let rest for 30 minutes or so.
Grilling: Get your grill nice and hot, as hot as you can. Sear the octopus pieces until golden brown, about 3 or 4 minutes on each side. Brush the pieces with the marinade from time to time
Finishing and plating: Take the octopus off the grill, and put them back in the bowl with the marinade. Mix once to coat all the pieces, then plate the octopus, pouring the remaining marinade over everything. Serve immediately with lemon wedges.