Dry bocconcini on absorbent paper. Place flour, salt and pepper in a bowl and mix to combine. Dust the bocconcini with the flour mixture, dip into the egg and coat evenly with the polenta.
Heat the oil in a large, deep saucepan over medium heat until hot. Deep-fry the bocconcini, in batches, for 30 seconds or until light golden. Drain on absorbent paper. Serve warm with lemon wedges. Serves 4.