Cook the polenta according to the packet instructions. While it is still warm, spoon the polenta onto a greaseproof-lined 25x30cm baking tray, spreading evenly so it's about 2cm thick. Leave to harden and set, or refrigerate overnight.
Preheat barbecue for high heat.
Slice the potenta into squares. Brush each one lightly with oil then barbecue on one side for 1 to 2 minutes, until slightly charred and warmed through. Turn the squares over, top each one with a teaspoon of blue cheese; cover with the BBQ lid for 30 seconds, or until the cheese has melted slightly. Transfer the squares onto a platter and serve.