Cut peel, including all white pith, from grapefruit with a sharp knife. Cut segments from membranes and divide segments among gratin dishes.
Combine yolks, sugar, and wine in a large metal bowl set over a saucepan of barely simmering water and beat with a handheld mixer at medium-high speed until mixture registers 140 degrees F on thermometer, about 4 minutes. Continue beating over heat until mixture has tripled in volume and forms a thick ribbon when mixer is lifted, 4 to 5 minutes more. Remove bowl from heat.
Spoon sabayon over grapefruit segments and broil 4 to 6 inches from heat just until sabayon is browned, about 30 seconds. Serve immediately.