I've never done it directly on the coals, but I've done it on rocks, on the coals. Mexican friends of ours do it this way, and it certainly does taste good, but I think it is more of the ambience of it, than the technique. I like to do carne asada with my WSM in the egg configuration to get the grate very close to the coals for that intense heat. Wal-Mart here sells what they call "Thin Sliced Milanesa" which is a beef cut that is sliced paper thin. I'm 99% sure it's from the bottom round, just super thin. That works excepetionally for carne asada. I give it MAYBE 30 seconds per side and then yank it. With a full chimney of K, and the egg configuration with the grate +/- 1" above the coals, it's probably 1287465939 degrees of heat, or somewhere in that range, giving the same results as having it right on the coals.