Thaw the Cornish hens about 1 day in advance.
mix together the orange sauce, honey, hot sauce and melted butter in a medium bowl until thoroughly combined.
Place the hens in a shallow bowl and drizzle the sweet and spicy marinade over the top.
Refrigerate for about an hour.
Heat 1/2 of the grill to about 350 degrees Fahrenheit.
Place the chickens into a cooking bag and pour any excess marinade in with them.
Place the bag in a shallow aluminum pan.
Place the pan on the non lit side of the grill and close the lid.
Cook for about 1 1/2 hour at 350 degrees Fahrenheit.
Use a meat thermometer to make sure the hens are thoroughly cooked.