Preheat the grill, setting the burners to high. Oil the grate.
Grill the pineapple slices for 2 minutes on each side. Set aside on a small baking sheet. Scatter half of the cookie pieces overtop and keep warm.
Meanwhile, thread the marshmallows onto four metal skewers. Toast over a flame or the grill. Gently remove the marshmallows and place on the pineapple slices. Top with the remaining cookie pieces. Serve drizzled with caramel sauce, if desired.
20 minutes or less