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Once each clam is opened, they are ready to be shucked. Remove the rack of clams from the fire and let them cool about 1 minute before proceeding, as they will be hot! Remove the empty shell and discard, putting the shell with the clam back on the cooking rack.
With a pastry brush, dab each clam with a little melted butter or margarine and then with a dollop of cocktail sauce. Put the rack back on the fire to finish cooking. When the clams are sizzling and the cocktail sauce is slightly darker, the clams are done. Remove from the grill, allow to cool slightly and enjoy!