You never want to put oil on/season a baking stone.
Eventually the oil should bake off, but, until then, you're stuck with the smoke. Cordierite can be sanded, but with cast refractory, I wouldn't do it. It's already incredibly weak structurally, so sanding could introduce more weak points. Oven cleaner would most likely permeate the stone and make the food taste odd. A grill would heat the stone unevenly and it would break.