I fry the meatballs in a little olive oil in this Italian sausage meatball recipe. I find this is the most flavorful way to cook them because they caramelize nicely in the skillet or frying pan. However, I have also had great results when I’ve baked meatballs in the oven and I love how fuss free it is! Just be sure to rub some olive oil over each meatball before you pop them in the oven to bake.