I use all 3 methods. However, I'd never usea torch ...... that's overkill in my book and expensive. If I use a flame, I just use a candle or an alcohol lamp. Alcohol because it's very cheap, quick to use and burns very clean. Just light the lamp and put the jig in the flame and count and dip. Try a couple of different counts until you find the one that gives the temp that gives you the best paint melt for you.
If I'm making a bunch of jigs or very large jigheads I use the oven but if I'm just painting 20 for a fishing trip I just use the candle. I like the candle better than the heat gun but that's just my preference.