There are collapsible grills on the market for camping and backpacking, but they tend to be on the pricey side. This DIY version is cheap, easy to build and you can make it the size you want. Instructables user stvnishere shows us this clever grill build. It's made from two pieces of copper pipe (though you could use any metal you want), one of which is a bit smaller in diameter so it can fit inside the other. The grill is made from stainless steel bicycle spokes. You'll need some basic tools, like a drill with a bit for cutting metal, a hacksaw and some cutting pliers, but the build itself is simple enough for anyone to do. Hit up the link for the full instructions.
The pocket grill [Instructables]