Marcel Dasaulniers, Chris Schlesinger, and Fritz Sonnenschmidt, the humble Grilling Maestros (Canada, UK), would love for you to buy their cookbook. But you certainly don’t need it to participate in the great fruit-grilling movement that is sweeping the country.
Firm fruits like apples, pears, and pineapple are delicious and easy to grill. Softer fruits like mango, papaya, peaches, and nectarines require special attention since they cook quickly, and if overcooked, will reduce to a mush. These fruits need only to be heated and not "cooked." You might also like to try bananas, tangerines, and pineapples grilled in their skins.
Many fruits, including bananas, pineapples, peaches, plums, apples, and pears can be cut in half, pitted or cored, and grilled. Oranges and other juicy fruits do best cut into thick slices. In general, leaving the skin or peel on the fruit helps it maintain its structural integrity as it cooks.
Place large pieces directly on the grill and smaller pieces on skewers or a grill pan. To prevent their sticking to the grill, baste items very lightly with melted butter, a non-stick vegetable oil spray, or an oil-based marinade.
On the olive oil question, it is a matter of personal taste. There are some very flavorful olive oils that might overpower even robust fruit. There are much more modest olive oils that might be completely overshadowed by a potent fruit. In some cases, even a more assertive oil could be a great complement to certain fruits, but you might not like any olive oil with any fruit. Try a subtle oil, see if you like it, and go from there.
There are any number of sauces that you can marinate the fruit in before grilling, brush on during grilling, and/or serve with the fruit after grilling. Among the simplest may be a purée of the same fruits you’ve grilled, augmented with a little lemon juice, and drizzled over the fruit after grilling. At the other extreme is a spicy hoisin sauce for grilled fruit. An even simpler approach is to bypass a sauce and sprinkle the fruit with brown sugar, cinnamon or ginger.
There are some particularly lovely fruit purées and sauces on the market these days - often in chef-inspired squeeze bottles that make fancy presentations easy - generally to be found in specialty and gourmet shops. But if it’s homemade sauces you want, homemade sauces you’ll get - click on the Related Recipes links at the bottom of the page for a few options.