Grilling vegetables in packets made from folded heavy foil is a trade off. Packets are convenient and cleanup is easy, but you sacrifice that delicious fresh-from-the-grill flavor.
A grilling basket, tray, or wok will give you that grilled flavor and work well for small or cut-up vegetables, with no worry about food falling into the fire. Or, if you don’t have one of those, use a foil pan.