How to grill polenta?
Your polenta was probably sticking because you didn't use enough oil or your barbecue was too cool.

Olive oil on a barbecue is a bad idea as it flares up and burns easily, you're better off with a more standard vegetable oil. The choice of oil is not as important as the quantity in keeping things from sticking, you need to use a lot of it. I use a high temperature silicone to baste the barbecue surface with a lot of oil when I need things not to stick, some use a halved onion dipped in oil to apply it to the grill. Also oil your food. 

Your barbecue surface could also be too cool. If it's too cool the surface of the polenta block won't form a crust quickly enough and will adhere to the grill. It should be hot enough that you can't hold the back of your hand over it for more than 2-3 seconds. 

Other factors in frying or grilling polenta are the thickness of the polenta, the temperature of the polenta, and the thickness of the mix. You want to be grilling thick slabs of still fridge-temperature polenta that was on the gloopy side when cooked.