Had a look at this today. It's not as straightforward as I originally imagined it would be.
I can animate the grenade, sure - it now has 4 frames of 5x5 pixels each for up, down, left and right-facing grenade graphics. However, at the moment I can only sync it to the lemming's actions... so, if at any point the lemming changes actions (for example, if they're mid-Looker state and a Builder is assigned to them), the animation resets.
It's difficult to say how much of a problem this is, since the Grenade is only on-screen for a very short time and so it's barely noticeable in real-time. But, it is definitely noticeable when framestepping and keeping an eye on the Grenade itself.
So, another approach... the codebase tracks whether or not the projectile has actually been thrown, so there may be a way to "get" the current frame at the point it's released from the thrower's hand, and then incrementally add frames to that point, changing the graphic every 2 frames. I'll give that a try and see if it works. That didn't work.
On closer inspection of how the Spear animation works, it's calculated based on the distance from the thrower lemming. So, there might be an even better way to do this: the animation could become incrementally slower the further away from the lem the Grenade gets, spinning quickly at first then almost stopping spinning if it gets far enough away that it's going below the lem's Y position.