Heat grill to medium-high. Once it is hot, clean the grill grate with a wire brush. Just before grilling, oil the grill grate.
Soak 8 skewers in water for at least 15 minutes.
Toss the scallops, orange wedges, oil, rosemary, orange zest, ½ teaspoon salt, and ¼ teaspoon pepper in a medium bowl. Thread onto the skewers. Grill, turning occasionally, until the scallops are cooked through, 3 to 5 minutes.