The anchovy might sound unusual, but during cooking it almost completely dissolves and seasons the cooking liquid in a subtle way — much like the anchovy in a Caesar salad dressing. Make sure your grill is nice and clean before you cook the fish; little bits of stuck-on food can spring a leak in the foil packets and you’ll lose all the delicious juices.Tear off a sheet of heavy-duty aluminum foil that is about four inches longer than the bluefish fillet. Center the fillet lengthwise over the foil.Strip the leaves from the rosemary and thyme sprigs. Grind the rosemary, thyme, salt, anchovy and pepper in a mortar until the rosemary is crushed. Pour in the olive oil and grind for another minute or so. (If you don’t have a mortar and pestle, chop the herbs, anchovies and salt together until the herbs are finely chopped. Scrape the mixture into a small bowl and stir in the olive oil.) Pour the seasoned olive oil over the fillet. Bring the two long sides of the foil to meet over the fillet and make a 1/2-inch fold along the long ends of the foil. Continue making a series of small folds until the fillet is snuggly enclosed in foil. Fold the two short ends in the same way to make a neat little package. You can prepare the bluefish to this point up to several hours in advance. Refrigerate the fish until you’re ready to cook.Prepare a charcoal fire or preheat a gas grill. Place the bluefish packet(s) over the hottest part of the coals and cook 12 minutes (adjust the time if your fillet is thicker or thinner than one inch). Remove the foil packet to a platter and cool two to three minutes before opening. Unwrap the fillet carefully — the packet will be filled with steam and hot cooking juices. Gently pull the foil from under the fillet, letting the juices drain onto the platter as you go. Serve hot.