Rinse the chicken and pat dry. Combine Cajun seasoning and chicken wings and drumettes in a medium, zip-top bag. Close bag and refrigerate at least 30 minutes or overnight.
Light the grill and preheat to medium-high heat. Dip a wad of paper towels in oil; using tongs, carefully wipe the grate of the grill. Place the wings and drumettes on the grill; grill covered, flipping occasionally, until they are crispy, golden brown and cooked through; about 20 minutes. If the wings begin to burn, move them to a cooler part of the grill.
While the wings and drumettes are cooking, make the sauce. Using a whisk, combine the White BBQ Sauce ingredients together in a small saucepan, over medium-low heat; whisking constantly for about 5 minutes. Remove from the heat and pour into a serving bowl to cool.
Serve the grilled wings and drumettes plain with the sauce* on the side.
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