Bring a large pot of salted water to a boil. Squeeze in 1 lemon and add the rinds to the water. Holding the octopus with tongs, dip the octopus into the boiling water 3 or 4 times, until the tentacles begin to firm and curl. Then, submerge the octopus in the water and cook for 40 minutes, uncovered.
Heat the grill to medium high. Grill the octopus until browned and crisped on the edges, turning every 5 minutes for 15 minutes. Remove from the grill, place on a platter, and cut into pieces. Squeeze the lemon over the octopus and sprinkled with some dried oregano.