I think I agree with Fat Woody. Are you cooking them to too high of an internal temp perhaps? I know when my brats and up being dry our tough it's when I wasn't watching closely enough and overcooked them.
A friend of mine (who is a Wisconsinite and claims to cook the PERFECT brat) likes to parboil his brats in beer. Then he puts them on the grill over direct heat just long enough to put some color to them and THEN (and this, he says is the secret) he puts them into a pot with some water, beer and a whole stick of butter (melted in). He says that the fat that comes out while grilling is replaced by the butter and that when you pull the brats OUT of that holding pot, the butter coats the brats and gives the fat back.
I've had his brats and while they are certainly fantastic, they're still boiled. I prefer indirect grilled the whole time or hot smoked from raw to cooked. I like the snap that the skin/casing has that way. Parboiled, they end up really soft. To each his own.
