In a small saucepan, bring your choice of oil and spice(s) just to bubbling, then immediately remove from the heat and cool.
Once cool pour through fine mesh strainer lined with cheese cloth and then store refrigerated for up to a month. Bring to room temperature before use.
To grill your vegetables, preheat your grill to a very high temperature. Brush infused oil on the vegetables. Then grill until tender (some vegetables will cook more quickly than others so keep a close eye on each as they cook and remove when tender).