Grease a half sheet pan with oil. Line pan with waxed paper. The oil will secure the waxed paper onto the pan.
In a large pot bring to a boil 2 quarts of salted water. When water has reached a boil, reduce heat to medium high and slowly add the polenta, stirring constantly for 3 minutes. When polenta is thick and smooth, pour it into the prepared pan. Bake in oven for 15 to 20 minutes. Remove from oven and allow to cool in pan. When cool enough to handle, cut into any shape you desire. I like to cut out 2-inch circles.