The folks at CSS Audio are pretty smart. They've just introduced DIY grills for some of their speakers, and they have a pretty creative way of making them "work."
There are two key aspects: 1) They mount them by inserting little neodymian magnets into holes drilled in the grill frames, then inserting small screws into the speaker baffles that line up with the magnets. It looks great with or without the grills in place. 2) They attach the grill cloth to the frames by routing a groove on the back side of the frame, then using a window screen-type spline to hold the cloth in place. They have a YouTube video showing the assembly process.
They offer pre-cut and routed frames for some of their speakers, but it wouldn't be too hard to make your own for any speaker if you can handle a router.
Here are my speakers with and without the grills.
