Brush top and bottom of salmon fillets with olive oil and season with salt, pepper, and rosemary. Place each piece of seasoned salmon on a piece of foil large enough to fold over and seal. Top the each piece of salmon with 2 lemon slices, 1 tablespoon of lemon juice, 2 tablespoons of wine, and 1 teaspoon of capers. Wrap up salmon tightly in the foil packets.
Place a grill pan over medium-high heat or preheat a gas or charcoal grill. Place the foil packets on the hot grill and cook for 10 minutes for a 1-inch thick piece of salmon. Serve in the foil packets.