Rinse chicken wings; pat dry with paper towel; place in large bowl. Add oil; gently mix until wings are coated; season with salt. Set oiled rack 5 to 6 inches over coals. When hot, grill wings until cooked through and golden brown, about 8 to 10 minutes on each side. In large skillet over low heat, melt butter. Stir in hot sauce and salt to taste; remove from heat. Add grilled wings; toss to coat.
Serve with Avocado Blue Cheese Dip and celery sticks, if desired.
To make Avocado Blue Cheese Dip: In food processor, combine avocado, sour cream, 1/4 cup of the blue cheese, lemon juice, garlic and 1/2 teaspoon salt; whirl until smooth. Remove to a bowl; stir in remaining 1/4 cup blue cheese and scallions.
Chicken wings can also be cooked on a medium-hot grill until cooked through and crispy, usually 25 minutes.