Seasoning a wok is an unavoidably smelly and smokey process that involves intentionally heating an oil or fat past its smoke point to deposit several sturdy layers of carbon based black patina upon the bare steel wok surface. Most directions that tell folks how to season their wok start off with big capital letters that say "OPEN THE WINDOW" and "TURN ON THE FAN".
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
Remove any grill grates or heat diffusing bars from the BBQ so that there is nothing between you and the gas jets.
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
Light the grill and turn the gas on high. Wait a few minutes to let the grill heat up.
Step 3: Place the Wok Directly Over the Flame
Situate the wok so it is directly over the flames. My gas grill only has two rows of jets - if your grill has 3, even better.
Step 4: Coat With Layer of Flax Seed Oil
Once the wok has heated for a few minutes, coat the inide of the wok with a thin layer of flax seed oil. Pure flax seed oil can be purchased at your local health food store. It must be kept refrigerated.
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
Repeat the process described in step 4.
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
Conventional Chinese and Thai woks are typically seasoned with pig lard - watch out vegetarians!
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.