Deep-frying. The ancient Chinese and Romans did it, the French made an art of it and the Americans made an obsession of it. It seems that since earliest times, epicureans have used deep-frying to create especially succulent bits of food.

The term "deep-fat frying" means to cook food in enough very hot fat to cover it completely. When perfectly done, the food emerges from the bubbling fat with a thin, crisp skin that holds the juices in and the fat out. That perfection comes with knowing the rules, plus a little practice.

Deep-frying doesn't require extensive equipment. A heavy 4- to 6-quart saucepan or a cast-iron dutch oven works well. The pan must allow ample room for the food to move around and for the oil to bubble. A wire basket that fits inside the pan makes it easier to get the food in and out of the oil. If the bubbling oil threatens to overflow, the basket may be removed quickly to avoid disaster. But if you don't have a basket, use a wire skimmer to remove food from the oil.

For the beginning cook especially, a fat thermometer facilitates proper frying. It indicates when the oil is hot enough and, even more important, when it is too hot. Since overheating causes the oil to break down and go bad, it is false economy to avoid buying a thermometer. It will quickly save you its cost in burned food and ruined oil.

Many oils are suitable for frying. The ancient Romans used olive oil, which must have given the food a distinctive taste as well as a slightly green appearance. The Chinese, on the other hand, used lard. Freshly rendered pork fat, a superior medium for deep-frying, creates a golden color and a rich, roasted-pork aroma. In France, the favored oil for french fried potatoes was, until very recently, the fine granular fat that surrounds a veal or beef kidney. This fat, too, produces a good color and a faint aroma of beef.

Today, however, vegetable oils are usually used for deep-frying. These may be in the form of solid, hydrogenated oils or the liquid oils such as soybean, corn, cottonseed or peanut. These have a high smoking point, meaning that they don't burn until heated to a high temperature. Butter and margarine, which burn easily, are never used for deep-frying.

I prefer peanut oil, which has the highest smoking point of all oils commonly used. Although it is an expensive investment initially, I can reuse it 10 to 15 times if I'm careful and filter it after each use.

Many different kinds of foods are well suited to deep-frying; chicken, veal, fish, shellfish, fruits and vegetables. However, many of them taste better and fry better if they are protected by a layer of breading or batter. This provides the crisp crust that holds in the moisture and keeps the fat from penetrating.

The batters range from the ephemeral coating on tempura to the thick coating used on fast food fish fillets. These batters are usually made with flour, egg and liquid which may or may not be lightened with baking powder, beaten egg whites or soda water.

To bread a food, dip it first into flour, then into eggs beaten with milk and finish in crumbs. Seasoned or plain dry bread crumbs, soft bread crumbs or cracker crumbs may be used. The flour binds the breading to the food and the egg binds the crumbs to the flour. The breading adheres to the food better if it is allowed to rest for 30 minutes before frying.

Deep-frying works best on small pieces of food, which cook through before the outside is too brown. The longer you fry something the more fat it absorbs. Food with a diameter of 3 inches is about as large as you should use for deep-frying unless it is precooked. Cut uniform pieces so that they will cook evenly. This way, if you use a basket, all of the pieces will be ready to come out of the oil at the same time.

The fat temperature is critical to frying. Most deep-frying is done at 365 or 375 degrees. At this temperature, the outside of the food quickly forms a skin after it is dropped in the fat and browning occurs within two minutes for small pieces of food. However, if too many pieces are added at one time the temperature of the oil drops considerably and browning takes longer. This means a less crisp crust and much greater absorption of fat. The food will seem heavy and greasy. To avoid this, watch your fat thermometer as you add food to the oil to make sure the temperature doesn't drop below 350 degrees. Allow the temperature to return to between 365 and 375 degrees before adding the next batch.

Another factor that affects the temperature of the fat is the temperature of the food being fried. Room temperature food causes a less drastic drop in oil temperature than chilled food. However, Japanese chefs prepare tempura with ice-cold food and icy batter.

Here are a few rules to keep in mind when deep-frying.

* Have the food at room temperature, the surfaces dry or dipped in batter.

* Use a pan that is large enough to immerse the food in oil allowing enough room for it to bubble without overflowing. You will need at least four inches of head room.

* Add only a few pieces of food at a time to keep the temperature constant. It should not drop below 350 degrees.

* Between batches, remove particles with a skimmer and return the oil temperature to 365 to 375 degrees.

* When the food is cooked, use the basket or a skimmer to remove it and allow it to drain on absorbent paper towels or old linen napkins. Never drain fried foods on top of the previously cooked batch. The food on the bottom will become very greasy.

* While the fat is still hot, strain it through a wire strainer lined with a coffee filter or a paper towel. When cool, place in a jar with a tight lid. Reuse this oil, adding a little fresh oil each time. Discard when the oil becomes dark and thick. TEMPURA (4 servings) 8 large shrimp (about 1/2 pound) 8 ounces fresh fish fillets 2 medium carrots 1 medium zucchini 4 large mushrooms 1 small sweet potato or yam 4 ounces fresh snow peas Fat for deep-frying Batter:

1 large egg

2/3 cup ice water

1 cup all-purpose flour

Shell the shrimp and devein. Butterfly them by cutting through where the vein was almost to the other side. Flatten slightly with a cleaver. Cut the fish into finger-size pieces. Peel the carrots and cut in thin diagonal slices so that they are about the size of a snow pea. Cut the zucchini in 1/2-inch-thick slices, then cut 1/2-inch-wide strips on a diagonal so that these are also the size of a snow pea. Cut the mushrooms in thick slices. Cut the sweet potato in half lengthwise and slice thin to make half moons. Remove the ends from the snow peas by snapping off. Chill all of these ingredients until serving time.

At serving time, place a glass bowl inside a larger bowl that has been lined with ice. Beat the egg in the glass and add the ice water. When they are well mixed, stir in the flour. Stir until just barely mixed, even though there will still be lumps. Heat the fat gradually to 375 degrees. Dip the shrimp in the batter one at a time. Allow the batter to drain off. Drop in hot fat. Cook until just barely golden. Add no more than four or five pieces at a time, monitoring the fat temperature as you add them. Continue until all vegetables are fried.

The tempura may be salted after it is fried, however it is usually served with a soy sauce dip that does the salting. TEMPURA SAUCE 1/2 cup oriental soy sauce 1/2 cup water 1/4 cup sherry 1 tablespoon fresh grated ginger

Mix well and serve in small bowls. BREAST OF CHICKEN CORDON BLEU (4 servings) Breasts from 2 chickens 4 small, thin slices ham 4 slices gruyere or swiss cheese 1/2 cup flour 1 egg 1/4 cup milk 2 cups fine dry bread crumbs (from french bread) Oil for frying Salt

Bone and skin the chicken breasts (or buy them this way). Separate the small filet from the larger breast muscle. Place the pieces on a board between pieces of parchment paper or heavy plastic wrap. Use a meat pounder with a smooth pounding surface or the side of a heavy cleaver to flatten the chicken breasts. They must be thin and about 8 inches in diameter. Flatten the small filets and use them to patch any holes in the large piece. Cut the ham so that it fits on the chicken breasts leaving a half inch or more of chicken showing on all edges. Trim the cheese so that it is half as large as the ham. Place the cheese on the ham, to one side. Fold the chicken breast over so that the cheese is enclosed in both ham and chicken. Press the edges together to seal in the ham and cheese. Chill for at least 30 minutes. Dip each chicken breast in flour, then in the egg and milk beaten together and finally in bread crumbs. Chill again until 30 minutes before serving time. Bring them out of the refrigerator to return to room temperature. (If you are in a hurry, just let them rest on the counter for 30 minutes after the breading is completed.) Deep fry at 375 degrees until golden. Fry just one at a time, being sure that the oil returns to 375 degrees before adding the next cutlet. Serve hot after draining on paper towels. They may be salted after frying but you may want to serve them with a wedge of lemon to season the outside. The inside will be well salted with the ham and cheese. Serve with salad and rice pilaf.