Heat one side of a gas grill to medium-high, the other side to medium. Or light a charcoal fire and let it burn until the charcoal is covered with white ash (but still quite hot); bank the coals to one side.
While the grill is heating, remove the achiote from its wrapping and break it up. Add the juice. Mash together by hand or process in a food processor until smooth.
Place the fish in a baking dish and drizzle with about 2 tablespoons of the marinade. Smear evenly over the fish with the back of a spoon, then flip and smear on another portion of the marinade. (Cover and refrigerate remaining marinade for another meal.)
When the grill is hot, brush or spray the top of each fish fillet with oil. Lay oil-side down on the hottest part of the grill. Cook (without attempting to move or lift from the grill grates) until well browned underneath, usually 3 to 4 minutes. Oil the now-top side, then use a spatula to flip the fillets over onto the slightly cooler part of the grill.
When the fish gives slightly under the firm pressure of a finger, transfer each fillet or steak to a dinner plate. Pass the lime wedges and salsa separately for each hungry soul to drizzle on to his or her liking.