In a heavy-bottomed medium saucepan, bring water to a boil. Add salt and oil. Add cornmeal in a slow, steady stream, whisking constantly; the water should stay at a moderate boil. When all of the cornmeal has been added, cook, stirring often with a wooden spoon, for 40 minutes. The polenta should thicken and pull away from the sides of the pan as you stir. Transfer to an 8-inch square baking pan. Let cool completely. Slice into long rectangles or triangles, and grill or saute.