 Use a sharp knife to do this. This will make the chestnuts roast faster, allowing the steam to escape from the chestnuts. You can also just pierce each chestnut several times with a fork. You can also just place them right on the grill, with the cut side facing up. Sprinkle them lightly with water to help them roast. Roast them until they're tender and the shell comes off easily. While they're roasting, use a spoon or spatula to move them around every few minutes so they don't burn. When they're done roasting, remove them from the oven. Wait 2-3 minutes for the chestnuts to cool off and then wrap them in a towel and squeeze them until the skin is crushed. Leave them in the towel for another five minutes. Do this while they're still warm to make the process easier. Take out the inner skin along with the shell. If any nuts are hard to peel, you can heat them briefly for a few more minutes until they're ready. Enjoy these nuts on their own while they're nice and hot.
Preheat your oven to 400ºF (205ºC). Cut an "X" shape into the flat side of each chestnut. Place the chestnuts on a baking sheet. Roast the chestnuts for 15-20 minutes. Crush their skins. Peel the nuts. Serve.