In a large bowl, combine yogurt, lemon juice, garam masala, paprika, cumin, coriander, turmeric, ginger, salt, black pepper, and cayenne pepper (if using). Mix well to create the marinade.

Add the chicken thighs to the marinade, ensuring each piece is well-coated. Cover the bowl and refrigerate for at least 4 hours, or overnight for best flavor.

Preheat your grill to medium-high heat. Remove the chicken from the marinade, shaking off excess, and discard the remaining marinade.

Place the chicken on the grill and cook for about 20 minutes, turning occasionally, until the internal temperature reaches 165°F (74°C) and the outside is charred in spots.

Transfer the grilled chicken to a serving platter, garnish with chopped cilantro, and serve with lemon wedges on the side.