Ans: As compared to refined oils, cold pressed oils are always a better option as the former loses its nutritional value during the heating process.
Further, repeated heating during the cooking process or constant frying causes a series of chemical reactions in the oil, like polymerisation (similar to the process of creating plastics). Ever noticed the residue deposits on your frying vessel?
To answer your question, cold pressed oils might be dense but they are rich in saturated fats and other nutrients that boost good cholesterol in the body. Given their high nutritional value, consumption should be minimal for proper digestion.
Any kind of oil should always be consumed in lower quantities with minimal or no heating, so always saute your vegetables at the end.
Oils like olive oil and coconut oil can also be consumed raw with soups or salads.