Coconut and palm oils I feel are the good veggie ones. They are both primarily saturated fat, and coconut is among the medium chain triglycerides well regarded for rapid absorption and quick energy. They are still not as a good a food as butter and beef suet, however. You can render beef suet in the oven at 250F, draining the liquefied fat (tallow) off the crispy bits. It will be very dry as you remove it from the heat, and can be simply poured into a jar, and closed up. It will keep well at room temp. It is the best one for frying steaks.

I am not sure what is meant by 'grilling'- I have heard this term used for cooking under an overhead flame; spitted over charcoal; and fried on a hot metal plate (sometimes called a 'grill'); and also placed on a wire rack over either a flame or hot coals. Frying very briefly in hot fat in a pan or skillet is best, it is very quick, cooks to a nice brown just the surface and therefore you lose only the smallest amount of vitamins and nutritive value. Beef fat (tallow) is very stable and does not turn or degrade when heated. If it gets too hot it will evaporate (smoke), however.