Single crystals of K0.58Fe1.56Se2 were successfully synthesized by a new single step process with the onset superconducting transition temperature 31.9 K. The X-ray diffraction patterns suggest that they have high crystalline quality and c-axis orientation. A possible modulation structure of Fe-vacancy along c-axis was observed. The upper critical field has been determined with the magnetic field along ab-plane and c-axis, yielding an anisotropy of about 3.3. It has also been shown that the critical current density of the K0.58Fe1.56Se2 is about 1.7 ¡Á 104 A/cm2 at 5 K.