The advantage of the oven is the entire unit is heated and the entire seal is made pliable at the same time. A heat gun would no doubt work at a localized spot. You would need to heat & pry, heat and pry with no gaurantee one spot would remain disjoined while another was being heated.
It's easy enough to remove the lights, any conventional oven will work, so why look for trouble?
Listen to Eric. I have taken my headlights out and done the MKIV cleaning method. By the time you got one section hot enough for the sealant to be tacky the other part will not be hot enough. In fact I "cooked" my headlight for almost thirty minutes to get my lens off. It was nice and tacky. Anything shorter and it was a pain in the ass. Just take them out. It is three bolts. By the way I recommend that you take out the battery to remove the driver's side headlight and take off the air cleaner assembly up to the MAF on the passenger side. It was a lot quicker that way.