Peel and finely chop the onion. Wash and halve the tomatoes. Cut avocados in half, remove the core, remove the flesh from the skin and chop roughly.
Cut the pieces of feta in half crosswise. Fold small grill trays out of foil, brush with oil. Spread feta, tomatoes, avocado and onion in them. Sprinkle with oil and lemon juice, season with pepper. Grill on the hot grill for 15-20 minutes.