I made them for the 1st time this weekend while camping. All i did was put it in some tin foil (just to keep it from sticking to the grill) with some seasoned salt and pepper, squeezed a lemon over it and cooked it about 6 minutes on each side, about 3 inches above medium heat. Mine ended up being done a little bit too well, and as psykogirl said, you don't want to do that.
I've also had it done wonderfully medium rare served with ginger and wasabi; but i am not sure how. That was the best tuna steak i ever had, though.