You just quick-fry a bit of citrus zest and spices in the oil and let the mixture cool. This not only removes the flavor of the olive oil (which is unwanted in most desserts) but replaces it with a perfume of lemon and anise, or orange and cloves or cinnamon--whatever best compliments the dessert you're making.
Here's how to do it:
For this post I used orange peel and cloves. Lemon peel and anise is probably more traditional. In the past I have also used cinnamon sticks, cardamon, and even lime zest--not very traditional at all. Experiment, but keep in mind that whatever you use is going to both perfume and flavor the dessert.
One half cup of olive oil (any basic olive oil will do)
a few strips of orange zest
Heat the oil in a small pan. Add the orange peel. Let it fry for a few seconds.
Remove the pan from the heat. Add two cloves to the oil and let it cool.
When the oil is cool, remove the orange zest and cloves, and it's ready to use.