Cut watermelon into 3- to 4-inch triangles, leaving rind attached. Place watermelon triangles on the rack of a covered gas or charcoal grill directly over medium heat. Grill for 2 to 3 minutes per side or until charred. Sprinkle with cheese and grill, covered, for 1 minute more or until melted. Remove to a serving platter and sprinkle with nuts and rosemary.