Brush the quail with the oil and season with salt and pepper. Grill the quail, breast-side down, 3 to 4 minutes. Turn and continue cooking until nicely browned, about 4 minutes. Alternatively, place the quail breast-side up on a baking sheet and under a hot broiler, and broil until crisp on the outside, about 4 minutes. Turn and continue broiling for another 3 minutes or until done. The quail should be slightly pink and juicy inside. Be careful not to overcook.