Heat gas or charcoal grill. In 7-inch nonstick skillet, heat oil over medium heat. Add shallots; cook 3 minutes, stirring frequently, until tender. Remove from heat. Stir in thyme, sugar, lemon peel, mustard and wine until well blended. Spread half of mixture on one side of swordfish pieces.
When grill is heated, carefully oil grill rack. Place fish, spread side up, on gas grill over medium heat or on charcoal grill over medium coals; cover grill. Cook 6 minutes. Turn fish; spread remaining shallot mixture over fish. Cook 5 to 7 minutes longer or until fish flakes easily with fork.