Hi I
Certainly use sesame oil but not too much and mainly for flavour.
Why dont you try Rice Bran oil from Woolworths or Aldi. I think you will like it.
Its a very high temperature low smoke oil with a mild taste that will allow the food flavours to come thru. You don't need to use much and for eye fillet steaks etc and food of that quality its the way to go IMHO.
Olive oil will by the way stuffs up steel BBQs and also you cannot get the oil hot enough without it smoking.
Canola is better but if I had a good cheap source of it I put it into the GQ tank instead!
Cheers
Chimo