Gumbo would not have to be exhausting! Instead of slowly cooking and stirring a roux for what looks like without end, do that alternative baked technique. It's not a shortcut per se, however cooking it in the oven will save you from having to face over the stove for hours. Serve hot with a spoonful of white rice. 1. Pour oil to a depth of about three/4" in a heavy cast iron frying pan. Heat the oil and check for readiness by dropping a bit of the ready okra into the pan. If it immediately begins to bubble the oil is ready for cooking.