The primary concern when doing this is safety... because the cooking is being done over an open fire, if the oil happens to spill over, even just a little bit, the resulting large fire can be extremely dangerous (I'm fucking serious... see the movie to see how easy it is). Also, since there's no thermostat control, the oil has the possibility to get hotter than it normally does in a deep fryer.

Basically:

• know where your fire-extinguisher is (never use water to put out a grease fire)
• use as deep of a pan as possible, with a relatively shallow amount of oil
• never leave it unattended. Overheating the oil is a very good way to have spillover.
• it's best not to put large amounts of frozen food in... it's safer to first thaw frozen food in the refrigerator.

In terms of cooking tips:

• use 2-3" of oil (you want to fill the pan up AT MOST half full, though you also want to be able to completely submerge the food)
• temperature should be 350 - 375 deg F. The best way to do this is to use a deep-fry thermometer with a kettle-clamp.
• cooking oil may be reused up to five times
• for oil, use peanut oil or other vegetable oils