Mix water, polenta, olive oil, salt and pepper in slow cooker; whisk until well blended. Add cheddar cheese and whisk again.
Cover and cook on high setting for about 2 hours, or until liquid is mostly absorbed. Stir together well (polenta should have consistency of thick cooked cereal).
If not serving right away, pour onto buttered baking sheet with sides, spreading into an even layer; cover with plastic wrap and let cool. When ready to serve, cut into rectangles and sauté in nonstick skillet with olive oil until golden on both sides.