1.Combine lamb, onion, garlic, anchovy, rind and herbs in large bowl. Roll a tablespoon of mixture into a ball around each olive; place on tray. Refrigerate 1 hour.
2.Meanwhile, make anchovy aïoli. Blend or process egg yolks, anchovy, garlic, rind and juice until smooth. With motor operating, gradually add oil in a thin stream; blend until thick, season to taste. Drizzle with extra olive oil, to serve.
3.Toss balls in flour; shake away excess. Dip balls in egg, then roll in polenta; place on tray. Refrigerate 1 hour.
4.Heat oil in medium frying pan; shallow-fry meatballs, in batches, until cooked. Drain on absorbent paper.
5.Serve meatballs with aïoli and lemon wedges.
For a quick version of anchovy aïoli, stir finely chopped anchovies, garlic, rind and juice into your favourite mayonnaise.