Soak 6 wooden skewers in cold water at least 1 hour. Preheat your grill to medium-high. Place each wedge of pineapple on a skewer.
Make the sauce by placing the butter and sugar in a small pot over medium heat. Cook, stirring occasionally, until the sugar melts. Add the rum and simmer 1 minute. Stir in the cream and vanilla, simmer 30 seconds, and then reserve on low heat.
Grill the pineapple skewers 2 to 3 minutes per side, until hot and lightly charred. Plate the pineapple, and drizzle with the caramel sauce, or serve it alongside as a dip.