For the sardines: Rinse the sardines, remove the heads, cut in half lengthwise then remove the bones. Peel the onion and cut into thin rings. Rinse the parsley and shake dry.
Stir the oil, saffron, lemon juice and a pinch of salt together until smooth. Add the fish and marinate for at least 1 hour in the refrigerator.
Arrange the marinated sardines, onions and parsley on a serving plate and sprinkle with a little paprika.
To serve, preheat the grills. Let the guests cook their own fish on the grill. Serve with vegetables, fresh bread and potatoes, if desired.