Try buying frozen sea scallops to cut down on costs when making this recipe. Thaw them overnight in the refrigerator or quickly in a bowl of cool water in the refrigerator for about an hour.
Off the heat, coat a grill grate with cooking spray. Prepare a charcoal grill for high-heat cooking or preheat a gas grill for high-heat cooking. Sprinkle scallops with salt and pepper.
As the grill heats up, mix ketchup, lemone juice, Worcestershire sauce, horseradish, and hot pepper sauce in a bowl.
Set scallops on the grill grate directly over heat and grill, covered, turning once, until opaque and firm, about 5 minutes. To serve, place a rounded 1/3 cup cocktail sauce on each plate; set 3 hot scallops on top.