You'll need to upgrade launch three times before you can do this. Take the first two damage upgrades on the left, then the first upgrade immediately right of those. This will cost five points. You will now be able to grab grenades and rockets.
I found
would automatically grab a grenade if it was anywhere close to the center of the screen, even if other objects were closer. So when you notice enemies throwing grenades, hold
at where the grenades fall. Might take multiple tries.
If you fight grenade throwing enemies on the astral plane, it's probably a good time to try this. It might be easier there.