Heat your grill on medium heat for at least 15 minutes (see oven instructions under the ingredient list).
In a blender, add the coconut milk, chipotles, adobo, garlic, and soy sauce and blend until smooth. Add the chicken to a large bowl and pour the mixture over top. Mix it together so the chicken is coated and let it marinate for at least 30 minutes or overnight (if you’re short on time, 5-10 minutes is fine).
Transfer drumsticks to the hot grill, making sure to shake off any excess marinade first. Cover and cook for 20-30 minutes, turning every 10 minutes or so, or until chicken is cooked through (165F). If it’s burning too much, turn down the heat or put it over indirect heat.
Transfer the leftover marinade into a small or medium pot and simmer over medium-low or low heat for 10-12 minutes or until the sauce has reduced and thickened. It will continue to thicken up as it cools down.
Brush or drizzle the sauce onto the drumsticks to coat and serve with lime wedges and cilantro. Put extra sauce on the side because you will undoubtedly want more!