Preheat grill to high. (If using a charcoal grill, coals are ready when you can hold your hand 5 inches above grill for 2 seconds.)
Halve 1 slice prosciutto lengthwise. Fold in half lengthwise, and wrap around sides of 1 scallop, overlapping prosciutto ends. Repeat with remaining prosciutto and scallops. Thread several scallops on each skewer.
Drizzle scallops lightly with oil, squeeze lemons over skewers, and season with pepper. Grill scallops, turning once, until just opaque, about 3 minutes per side. Serve with lemon.
Sea scallops should have a firm texture, a pearly, almost peachy tone, and a faintly sweet aroma. Ask for dry or dry-packed scallops to ensure a fresh flavor and supple texture. If you are using wooden skewers, first soak them in cold water for 30 minutes.