You may be familiar with the process of burning in normal iron pans. Oil is used to create a natural non-stick coating (patina) that protects the pan from rust. With grill pans, you have to distinguish between coated and uncoated pans. Coated models do not need to be baked, as the coating already provides protection against rust and sticking. The question of whether you should bake a grill pan therefore arises primarily with uncoated cast iron pans. These are usually delivered already baked by the manufacturer. This one-time baking is usually sufficient, as the contact between the food and the bottom of the pan is less with grill pans than with frying pans. The grooved profile minimises the risk of something burning on anyway.