Plastic wrap should never be used in ovens, grills or other high-heat appliances because it can melt. Foods high in fat or sugar heat quickly, which can cause plastic wrap to melt or leach chemicals.
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Are Pyrex lids oven-safe?

Both glass and plastic Pyrex lids are microwave-safe, though plastic lids should always be vented to prevent pressure buildup. Glass lids are usually dishwasher safe, but plastic lids may warp or ...