1.Make fennel citrus salad; cut unpeeled grapefruit, orange and lemon into equal size wedges; cook on a heated oiled grill plate, uncovered, until browned. Place fruit in a large bowl with endive, fennel and combined mustard and oil; toss gently to combine.
2.Place balmain bugs upside down on a chopping board; cut tail from body, discard body. Halve tail lengthways; discard back vein. Cook bugs on a heated oiled barbecue grill plate (or grill or barbecue), uncovered, 8 minutes or until cooked through.
3.Place bugs in a large bowl with combined oil, rind, juice and mustard; toss bugs to coat in mixture.
4.Serve bugs with fennel citrus salad.
Large king prawns (shrimp) or scampi are good substitutes for the balmain bugs in this recipe.