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For the veggies and cheese: Place the mushrooms, tomatoes, chile pepper, squash and zucchini in a plastic bag and pour the marinade over. Marinate for 3 to 4 hours.
Remove the vegetables from the marinade, reserving any leftover marinade. Thread each type of vegetable all onto 1 skewer to ensure proper cooking time for each vegetable. Place the zucchini, squash, pepper and mushroom skewers on the grill first. Grill, turning once, until the vegetables have charred and softened, 8 to 10 minutes. Grill the halloumi and cherry tomatoes, 3 to 4 minutes.
Once the vegetables are cooked, transfer them from the skewer to a bowl. Toss with extra marinade. Serve the vegetables with toothpicks and the Spicy Avocado Dill Dip.
Cook's Note: If you are traveling from a prep area to another grilling destination, pack an On the Go Grilling bag. Some suggested items to make the cooking cleaner and easier is to include things like heat resistant gloves, matches, mini cutting board, salt, pepper towels, tongs, disposable gloves, paper towels, knife, trash bags, newspaper and kitchen shears or scissors.