Lightly season the cod cheeks with salt and pepper. Heat a frying pan to very hot, and add 1 tbsp vegetable oil. Put the cod cheeks into the pan, and once golden (about a minute), turn them over, take the pan off the hob and leave the cheeks in the pan for 5 minutes, to cook in the residual heat. Put the cheeks in a small bowl. Squeeze the lemon juice into the pan, put back on the heat, and deglaze it. Pour over the cod cheeks. Add the dill, gherkins, lemon zest and grated horseradish, and toss gently with the cod.