Cut and discard 1/4" slice from top and bottom of each onion, then cut onions in half crosswise. Arrange in single layer in shallow dish. Whisk together Worcestershire sauce, vinegar, soy and oil and pour over onions. Marinate 1 hour at room temperature, basting occasionally. Grill onions on medium with grill cover down, basting occasionally about 4 minutes per side, until brown. Season with pepper. TIP: Hold onion sections together with small skewers while grilling.