Once the grill has cooled to a medium heat, brush the radicchio pieces with olive oil and grill them, turning every 3-4 minutes until they are soft and faded. This takes from 10-15 minutes depending on the size. Place them on a large platter and drizzle walnut oil, vinegar, blue cheese and toasted walnuts plus a little sea salt and a few grinds of black pepper from the pepper mill.