Most greases used in bearings and so on are a variety of high temperature grease, which is designed for minimal change in viscosity with an increase in temperature. Heating up the grease is likely to degrade it before it makes it much thinner. A thick oil is more likely to work in this way, in fact heating heavy motor oil and then putting a chain in the pot with it, then removing it from the flame and letting the whole thing cool down together, is an old bike mechanic trick which leaves the oil inside the rollers.

- Joel