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.