Clean any funny stuff (guts, etc.) from each type of fish. Trim the fins and gills from the sole, sardines and mackerel and season all the fish with salt, pepper, lemon and olive oil.
Heat grill to full heat.
Place all fish on the bottom of the two-grill sandwich piece and close top. Place on grill and cook 7 to 8 minutes, or until eyes of the fish have completely clouded over. Turn over and grill 7 to 8 more minutes, checking to see that thickest part of monkfish is cooked through. Remove and carefully separate grill holder from fish and serve on large platter with radicchio salad, lemons and extra virgin olive oil.