Prepare the grill for direct cooking over medium-high heat (400° to 500°F).
In a medium, nonreactive bowl combine the sauce ingredients.
In a small saucepan combine the marmalade, orange juice, and vinegar. Cook over low heat just until the mixture thins slightly.
Blot the ham steaks dry with paper towels. Brush both sides of each ham steak with the marmalade mixture and season one side evenly with ¼ teaspoon pepper.
Brush the cooking grates clean. Grill the ham steaks over direct medium-high heat, with the lid closed as much as possible, until they are nicely marked and crispy around the edges, 6 to 8 minutes, turning once. Remove from the grill and cut into individual portions. Serve warm with the sauce and orange wedges, if desired.
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