Well, the heat wave is over here, but before it ended I did more baking on the BBQ. I used the set up described here and made kaiser rolls and whole wheat bread in loaf pans. Everything turned out awesome, just as good as in the oven. They key is making sure your temperature is consistent, which is easily done by putting an oven thermometer in the BBQ. Also, I also put some water in the steam pan, even for bread in loaf pans, because the BBQ is a pretty dry heat.
