Actually grenades are pretty effective and do a lot of damage. I'm level 23 grenades right now.
It's important to get the feel for the meter and screen angle to adjust how far you throw. For enemies that are kinda close I drag my mouse down towards me to angle the screen and let my meter fill up to about the 2nd line. If I'm throwing further away, I'll flatten out the angle.
It took a bit to get the feel for it, but now I'm fairly accurate with grenades.
Also when leveling it, use it against stationary enemies. Gypsies are good if you hit them with hex shot first, then throw your grenades at them
