Fire up your grill or a heavy skillet. Rinse mushroom caps and rub with oil. Lightly sear gill side of mushrooms until caps start to release juices, turn and continue grilling for about 5 minutes or until tender. Top with cheese and continue heating until cheese melts. Toast buns as desired, transfer mushroom caps onto buns, seasoning with salt and pepper to taste. Dress with lettuce, tomato and any other favorite condiments. Serve hot.