My take on the whole cooking with olive oil thing...
Extra Virgin OO is different from other olive oils in that it is a first, cold pressing. After that, they use heat to extract more oil out of the olive must, producing the less expensive olive oils. So what makes Extra Virgin so expensive is that it has no heat applied to it to alter its flavour.
So why cook with it then? If you add heat, you are degrading it to the level of heat extracted olive oil which is cheaper. Thus if I want to cook with olive oil, I just use the cheaper stuff, and save the EVOO for salads and stuff.
Insofar as steaks go, Chez Rooney they are either cooked in butter or their own lard. I know some folks argue that you shouldnt take butter past its flash point, but I like me the taste of burnt butter.
There are some really elegant EVOOs from Córdoba. To me it seems a shame to cook the flavour out of them.