Melt butter in a saucepan; stir onion, Worcestershire sauce, and paprika into the melted butter.
Arrange four squares of aluminum foil on a flat work surface. Place a salmon steak in the middle of each piece of foil. Roll edges toward the salmon to make miniature pans and pour about 1/4 of the butter sauce over each steak.
Carefully set 'pans' onto the hot grill and cook until the fish flakes easily with a fork, 20 to 25 minutes.