Prepare the marinade by mixing the chicken thighs with coconut milk, red curry paste, yellow curry powder, soy sauce, garlic, sugar, and pepper in a large Ziploc bag. Seal and smoosh it around to mix well and coat the chicken evenly.
Refrigerate and marinate for 2-24 hours.
20 minutes before grilling, remove the chicken from the marinade and shake off the excess.
Heat the grill or grill pan to medium-high. Grease the grill or grill pan.
Grill the chicken thighs for 5-6 minutes on the first side, flip and grill for 4 minutes on the second side, or until cooked through, according to a meat thermometer.
Transfer the chicken to a plate, cover loosely with foil, and rest for 5 minutes.
Serve immediately, topped with lots of lime juice and fresh cilantro. Enjoy.