Heat the olive oil in a small grill or pan. Add the radicchio leaves and grill them over medium/low heat for about 5 minutes. If you are using a grill pan, display the leaves on the whole surface and flip them on the other side after a couple of minutes. If you are using a simple pan, simply stir the leaves with a wooden spoon every now and then.
The more you cook, and the leaves lose their vibrant red or purple color, the less bitter the flavor will be. But also less crispy the texture.