Toasted sesame oil comes ready to buy in most grocery stores. Use it as a finishing oil to add flavor to stir fries or Asian salad dressings, not as a cooking or base oil. The smoke point, the temperature at which it burns, is too low for regular sauteing or frying, and the flavor is too intense to use alone as a base for a marinade or salad.
Toasted sesame oil shouldn't be confused with regular sesame oil, which is light in color and suitable for frying. While you can attempt to toast regular sesame oil to deepen its flavor, it won't parallel the products you find that have been made from already toasted seeds.
Toasted sesame oil is made from pressed sesame seeds that have been slow roasted to bring out their toasty, clean flavor. It appears amber to brown in the bottle, reflecting the color of the seeds used to make it. Sesame oil made from raw seeds is rather tasteless and nearly clear in the bottle. Toasting the seeds prior to pressing them is what creates the unique, intense flavor of toasted sesame oil. Without this step, the exact flavor of toasted oil cannot be duplicated.
Some recipes may call for you to "toast" regular sesame oil before sauteing in it. This process is simple and adds a little more depth of flavor to the dish, but won't have the same effect as drizzling a small amount of toasted sesame oil on at the end of preparation. Toasting the oil is easy, though.
Place a stainless steel saute pan over low to medium heat and bring it up to temperature.
Pour in a small amount -- a tablespoon or two -- of the clear sesame oil.
Circle the oil around in the pan by gently rocking it with the handle.
Pay close attention to the color and smell of the oil. It'll darken slightly and smell of fresh sesame seeds as it toasts.