I've just recently picked up a new wok for home from the local Asian mart, a decent pan shouldn't set you back too much, I paid NZ$20, my other steel sauté pans have cost a similar amount from a hospo wholesalers. These pans are the work horses of the kitchen, meant to take abuse and do the heavy lifting, but there's no such thing as a free lunch and a little bit of effort has to be put in before you reap the benefits, and a maybe little on going care, mainly don't scrub the shit out of them with steelo and avoid soap, hot water and firm scrubbing brush are all you need, if it's really caked on crap—which if seasoned properly shouldn't happen—pop it in a moderate oven to soften before scrubbing.
This is by no means meant to be a definitive expert guide, this is how I season my steel pans. A few things before we get started, don't do this on a still day, there will be smoke, a lot of it, good air flow is a must, don't rely on your range hood it's a piece of crap, all domestic extraction systems are, deal with it. Flax seed oil is the best option for seasoning, there are many articles of the web about why if you're interested Google is your friend, if you don't have or want to use it use something neutral, grape seed or rice is fine. Finally give yourself a bit of time, I'm not talking all day, but a good hour or so.
First things first, wash the pan you're going to season, I mean get in there with hot soapy water, a scouring pad and a whole heap of elbow grease, more likely than not the pan is going to have a pain in the ass to remove plastic type coating inside and out, get this off or it will smoke and send noxious nightmarish fumes everywhere.
Fill up the sink with cold water, this is important for two reasons, you're going to shock the pan after getting it white glowing hot, and well if you burn yourself you have a big ol' sink of cold water to dunk into.
Get a rag or cloth, something that won't melt and you don't care too much about, an old cotton tea-towel is ideal, roll it up and fold it in half, you'll use it a bit like a brush to apply oil, which you should also put a few slugs worth in to a bowl, you can always add more.
Place the pan on a high flame, you want to get it hot all over, you may need to move the pan around, the metal will begin to change colours, darkening, turning red, then blue, finally becoming white hot. Don't rush this, you want it to be uniformly "white hot" all over. When ready dunk it in the water.
Dry the pan off. Use the rag to apply a thin layer of oil all over the inside of the pan, put it back on the heat, again you may need to move it around as you want it to get uniformly insanely hot all over.
When the oil has finally stopped smoking, use the rag to apply another thin layer of oil to the pan, leave it on the heat when applying, it will be very hot so be careful, and as above get it as hot as it will go and when it stops smoking apply another layer. Repeat this step five or six times, you want it to be black all over.
You can either leave it to cool down naturally, I don't, or dunk it in the sink of cold water, weirdly satisfying, dry it off and you're done.
