for making that sort of wave effect, you need to make a new template, or just use one that looks like it (concussion cloud) anyway its easy to do. If you havnt already, read my tutorial on templates. Now for the particles you want, what you need to do is use a property called "pitchrange". Pitchrange stops the particles from going all over the place and only allows them to move in a specified range of pitch. if you added "pitchrange=10" to your template, then the particals only get 10 degrees off from 0 (horizontal) to go up. thus creating a wave-like effect.
As for having it damage something as it touches it...that is a little tricky. Particles do not do any damage, and there is no way of determining what a particle has touched. So you can use something called "blasttime" in your explosion template. Blasttime is (I think...) the amount of time it takes for the explosion's damage to kick in. so if you are far away from the explosion, and you set the blasttime to approxamatly the same amount of time that your particles reach you, then it would work, the problem is, the blasttime doesnt care how far away you are from the explosion, it still waits anyway.
I think the best way to do this is have your grenade release a bunch of large, invisible, short range projectiles in every direction (except up and down, of course) this way you dont have to bother with blast time. if you get the projectiles speed right, it will work perfectly along with the shockwave particle effect.
I'm just an old man with a skooma problem.