You never want to sautee with EVOO or any kind of olive oil. For starters the boiling point of olive oil is extremely low so no matter what you are cooking with you're going to denature the PUFA's and MUFa's into bonding and creating a structure similar to a saturated fatty acid (the kind of stuff that globs up in your circulatory system). Also, olive oil can be expensive so if you're spending the extra dough for healthy, good-quality oil, you're wasting your money if your frying with it. Canola oil is a good alternative for frying. It's still got those PUFA/MUFA's that you're looking for but it's also got a much higher boiling point. Just try to avoid doing any searing or high temperature frying because all fats do the same thing when you heat them up hot enough. That being said, the healthiest option will always be poaching/steaming, grilling, and baking and try to minimize the amount of any oil you use during cooking because no matter what you're adding extra fat to your food (Fat = 9 Calories/gram).
So......in terms of how you should used olive oil. ALWAYS have it at room temperature. This ensures that you recieve the benifits of the PUFA's and MUFA's that actually assist in how your body processes and discards the fat you eat as well as decrease your risk of cardiovascular problems in the future.
Now as I said before, if you spend the money, you're going to get a GREAT product that both tastes good and has health benifits. Cold pressed olive oil is always the best and will actually have an amazingly stong organic taste to it; unfortunatly it has a shorter shelf life than hot pressed. Look in a specialty food store for the good stuff. It may set you back anywhere from $20-$150 per bottle but trust me, it's worth it. Use it "as is" on your salads instead of salad dressing and add some fresh lemon juice and/or a little bit of your favorite herb or spice and you'll see what I'm talking about.
In summation, don't bother frying with it.