Start a gas or charcoal grill; fire should be moderately hot and rack about 6 inches from heat source. Keep part of grill cooler for indirect cooking.
In a small bowl, combine a sprinkle of salt and pepper with the herbs. Add enough olive oil to make a paste. Loosen skin of chicken and slide a bay leaf between skin and meat, then insert a portion of herb mixture. Push skin back onto flesh and sprinkle with a little more salt and pepper.
Start chicken on cool side of grill. After some fat has been rendered, turn chicken; if it flares up, move it to an even cooler part of fire. When skin has lost its raw look and most fat has been rendered, no more than 15 minutes, move chicken directly over fire. Cook until both sides are nicely browned and flesh is firm and cooked through, another 5 to 10 minutes.
Serve hot, warm or at room temperature, with lemon wedges. Remove bay leaves.
Bay leaf is not edible.