I found this recipe in Food and Wine magazine. We ( Dave) marinated it in a large Ziploc bag and then grilled it on a Weber style charcoal grill. For the ground fennel we used an old coffee grinder to grind up dried fennel seeds. And yes, use the entire lemon ground up in a food processor for the marinade.
I also used the Creamy Polenta recipe adapted from Cooks Illustrated which you can find in my website.