Most don't do this for that reason, but I began that way before I knew what I was doing, and I still do that once in a while. I like it for some reason, it's nostalgic in a way, and damn good in my opinion.
When doing it that way, I marinate my skin-on chicken in a bag with sauce for a few hours in the fridge, then on the grill, and baste more sauce on during cooking which helps reduce the charring from becoming a problem really. Just keep cooking and saucing until done.
Most times though, I don't sauce my chicken at all, to be honest...since we're talking about chicken for eating at home. But that's because there are more recipes and uses for unsauced chicken, really.