As a fry cook for almost ten years, I recieved a LOT of grease burns. Here's my take: One good use for white flour. That's right, I always keep a pan of white flour nearby when cooking in grease. If you stick your burn in it (or throw it on a burn, if necessary) as soon as the grease hits, It'll absorb the grease immediately, minimizing the burn. Do NOT RUB at the burn with flour. once the grease is absorbed, RINSE the flour off with cool water.
after that, I find Aloe speeds the healing better than anything else I know.