A character within the burst radius has two additional options. To pick up and throw the grenade before it goes off, he must make an Agility roll at -4 (or -2 if he was on Hold). Failure means it goes off and he takes an additional die of damage.

Covering Grenades: A character may also throw himself on a grenade. He takes double the normal dice of damage for his heroic act, but his total Toughness is subtracted from the damage inflicted on other characters in the blast radius. Allies won't normally perform such a suicidal act, though the GM might rule otherwise in specific situations, such as when an ally has a “loyal” personality.

Savage Worlds Deluxe Edition p. 57