I can't help too much with the HPLC method, but have used two 250mm C18 columns in series to resolve Triglycerides from FFA and sterols, but it only worked for oils with C16 and C18 fatty acids, too much overlap for others, but there may be better columns available now.
Many standard methods for edible oils exist and the American Oil Chemists Society website may be able to offer suggestions or contacts.
I've looked at Free Fatty Acids in triglyceride oils using GC, by dissolution in iso-octane and bubbling diazomethane through to derivatise the FFA, and then inject into a GC column - can get FFA and TAGs ( triacylglycerides ). With acetylation ( pyridine/acetic anhydride ), you can also get MAGs, DAGs, but I've not tried FFA, MAG, DAG, TAG on a single sample run, usually usedtwo runs, FFA and TAG, and sterols, MAG, DAG, TAG.
I know DAM isn't sexy these days ( carcinogenic or similar, with toxic precusors ), but the derivatisation only takes a minute, and there are some simple DAM generators available. So if you don't have much luck with HPLC, you could revisit GC. There are methods out there for GC.
Bruce Hamilton