GAC06 said:
Dry roux in the oven is the way to go in my opinion. Easy, fool proof, and eliminates a ton of unnecessary oil from the dish
I couldn't disagree with this more.
I use the method OP describes. High heat. At, or slightly above, the smoke point of a high-heat oil, like canola. Stir like hell until desired color is reached. It takes 6 or 7 minutes until brick red. Then douse it with the veggies.
It is far easier, in my opinion, to pay 100% attention to a roux for 6-7 minutes than it is to pay 30% attention to a roux for hours.