What happens when heating oils

Deep frying, shallow frying, sautéing, or roasting changes the molecular structure of the oil as it breaks down through oxidation.  

Fat molecules react with oxygen in the air to form lipid oxidation products (LOPs) including aldehydes. The higher the cooking temperature or the more frequently it is reheated, the more of these potentially toxic products are produced in the oil, especially if it is close to 'smoke point'.