Since you said they're packed in olive oil, I'd just use a variant of http://www.foodrepublic.com/2012/04/19/grilled-sardines-charred-lemon-chiles, http://www.epicurious.com/recipes/food/views/Grilled-Fresh-Sardines-with-Fennel-and-Preserved-Lemon-238421, http://www.wholeliving.com/130379/grilled-sardines-over-wilted-baby-arugula, http://www.ivillage.com/simple-grilled-sardines/3-r-64525, http://www.cookstr.com/recipes/grilled-sardines. (Last 2 are plain grilled seasoned sardines, others are fancier, with veggies and garnish.)

If you feel in an adventurous mood, you can wrap the seasoned sardines in aluminum foil and use dry pine needles to grill them, but that's better done in a cooking pit on a windless day, with a garden hose standing by, as this can cause pine needle embers {which are very light) to disperse otherwise.