Preheat the grill to medium-high heat.
In a small bowl, combine the watermelon wedges, lime juice, cayenne pepper, and agave syrup. Toss to combine.
Place the watermelon wedges on the grill and cook for 5-7 minutes, flipping once, until lightly charred and cooked through.
Remove from the grill and let cool.
Combine the grilled watermelon, tequila, orange liqueur, and lime juice in a blender and blend until smooth.
In a small bowl, mix together the cayenne pepper and salt. Rim a glass with the mixture.
Add a few slices of grilled watermelon to the glass and pour the margarita over it.