Defrost the patties in the fridge overnight.
When ready to cook the burgers, use the cooking oil to grease the grill grates of a gas grill (or oil a cast-iron skillet for cooking the burgers indoors). Turn the heat to medium-high and get the grill grates or skillet hot.
Place the burger patties on the grill or skillet, and sprinkle the first side of each patty with salt and pepper. Flip the patties and cook the first side over medium-low heat for about 5-6 minutes. Flip, and sprinkle the opposite side of each patty with salt and pepper. Cook the second side for 4-5 minutes. Use a meat thermometer to ensure the patties reach the desired internal temperature.
Remove the burgers from the grill, and cover to keep warm.
Meanwhile, prepare the burger fixings: Toast the buns, slice the lettuce and tomato, and have them ready on the side.
Make the smoky blue cheese sauce: Crumble the blue cheese with a fork into a small bowl.
Stir the mayonnaise, heavy cream, salt, and pepper into the crumbled blue cheese until a sauce forms. Add a splash more of heavy cream if you think it needs it.
To assemble the burgers, place a burger patty on top of each toasted bottom bun.
Divide the blue cheese sauce evenly over each burger.
Top each burger with desired fixings, then place the top bun on top. Serve immediately.