Make sure each mackerel fillet is bone-free. (Either remove the belly and pin bones with fish bone pliers or clean tweezers, or follow the line of bones, cutting either side of them as close to the bone as possible, and lift them out.)
Put the oregano leaves, lemon zest, red wine vinegar and olive oil into a large bowl and season with salt and black pepper. Add the chilli, if using.
Place the mackerel fillets into the marinade and refridgerate for at least half an hour, turning once or twice to make sure they are completely covered in the sauce. Thread the fillets onto long skewers, concertina style, adding wedges of red onion at each end.
If cooking on a barbecue, heat the coals until white, then cook the mackerel for around 10-12 minutes, or until cooked through. Baste with any leftover marinade and turn regularly. You can also cook these under a hot grill or on a griddle pan for 10 minutes, turning 2-3 times . Serve with lemon wedges.