Immediately after you get a grease burn you should run the burn spot under cool water for around 30 minutes.
The cool water will help to relieve the pain of the grease burn.
One thing to mention and it's very important is to never apply any ice to your grease burn as it can damage tissue.
After running the grease burn under cool water for 30 minutes then apply some aloe vera gel and wrap the grease burn in plastic wrap or a gauze pad.
The blisters from the grease burn should heal up on their own within a few weeks.
If the grease burn is severe enough then you should seek medical attention. But if it's a minor grease burn then home treatment is all that is needed.