I try to avoid filling my house with burnt oil aroma and so I've made the switch to seasoning all of my cast iron and woks on my BBQ outside in the backyard. It's a much more pleasant process, doesn't heat up my whole house, and more importantly, doesn't make my curtains smell like McDonalds.
Check out my Best Way to Season Cast Iron Instructable which promotes the use of flax seed oil for a deeper, stronger, longer lasting seasoning for the background on my oil/fat selection for pan seasoning.
Step 1: Remove Grill Grates
If your wok is brand new, wash it using soap and water to remove the machining oil that it's likely been coated in to prevent rust during shipping. This is the last time soap should touch your wok.
Step 2: Set Gas to High
Step 3: Place the Wok Directly Over the Flame
Step 4: Coat With Layer of Flax Seed Oil
Completely coat the interior of the wok with a thin layer of oil using a pair of tongs and some paper towels.
Close the lid and wait a few more minutes.
When you open the lid you should notice that the wok has turned darker, to a light shade of brown instead of bright silver.
That's good, you are on the way to having a well seasoned wok.
Step 5: Repeat Coats
You'll quickly notice a shiny black layer building up on the wok.
The areas closest to the gas jets will blacken first. Rotate the wok in a circle and at different angles to position the wok above the flames so that after several rounds of oiling, all of the wok blackens evenly.
The wok will turn from silver to brown to dark brown to black.
I repeated the process around 7 times over the course of about 45 minutes. The BBQ is plenty hot so the process goes rather quickly.
Step 6: Finish With Non Hydrogenated Rendered Pig Lard
Once I had laid down a thick coating of the chemically superior flax seed oil, I completed the seasoning with a few top coats of lard for a more authentic traditional seasoning.
At the end of the process the wok should have a deep black shiny finish.
Follow normal wok practices when you use it...don't use soap, clean with salt and a towel, always dry it fully on the stove after you've cleaned it. With a little care your wok will provide a lifetime of naturally non-stick cooking.