Preheat the oven to 350°F. Toast the almonds on a rimmed baking sheet in oven, stirring occasionally, until fragrant and golden brown, about 10 minutes. Let cool completely; coarsely chop.
Process the almonds, basil, parsley, anchovies, and garlic in a food processor until combined. Add the oil in a slow, steady stream, and process until smooth. Transfer to a large bowl. Stir in the lemon zest; season with salt and pepper. Reserve 1/4 cup pistou for dipping.
Heat a grill to medium-high (if using a charcoal grill, coals are ready when you can hold your hand 5 inches above grate for just 3 to 4 seconds). Toss the prawns with the remaining pistou. Grill, turning once, until cooked through, about 2 1/2 minutes per side; season with salt and pepper. Serve with the lemon wedges and reserved pistou for dipping.
