I presume the best method for adding flames to something like that would be a particle system. afaik the blender nif scripts will not export them.
You will have to find a particle system in a vanilla nif, if you know something in the vanilla game that has a similar effect use that. then you will want to build your grenade nif around that.
only saidenstorm has apparently managed to hack custom particle systems together. I couldn't begin to tell you how, cept that he uses max and exported them with the civ4 plugin. and then hex edited them :shrug:
Not sure what else would be a good way to do flames.