As soon as the food is removed from the grill, brush the grills with a grill brush for about 10 seconds. If you have porcelain-coated grills make sure you only use a brass bristle brush, never scraping the grill with the scraper that is usually attached to most brushes.
Then turn off the grill immediately. After the grill has cooled down spray vegetable oil, such as Pam, liberally on the grill (this should also be done before you light the grill each time as well). What this does is loosen whatever food is stuck to the grill, knocking it into the bottom of the grill where it will be incinerated the next time the grill is pre-heated.
Turning the grill on high for ten minutes will emulate a self-cleaning oven, but that is like using your grill twice. Of course you may forget you are burning off your grill, and it can easily be left on for 30 minutes or more. This puts your grill through the same stress as using it 3 or 4 times, meaning you will need to purchase new parts, or even a new grill, much sooner than you should have to.
If you feel you just must burn off your grill, once a month won't really hurt anything, but religiously brushing for 10 seconds as soon as you're done cooking and keeping the grills well oiled is all anyone should have to do.
To help make the grill easier to keep clean, don't apply tomato based sauces until the last few minutes before the food is removed from the grill. Marinade and baste the food with vinegar, citrus or soy-based mixtures to help make clean up easier.
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