The Shulchan Aruch (473 – 4) states that the Minhag is to roast the Zeroa of the Seder plate on coals. Since it is a remembrance of the Korban Pesach, it should be roasted as such. The Rem`a adds that his Minhag was to roast the egg as well.
Therefore one should be careful to roast the Zeroa in a way that would be Kosher for a Korban Pesach. It shouldn’t touch any metal nor any other heat-conducting object. It must be fire-roasted, not metal-roasted.
Practically I have found that folding up a sheet of baking paper and putting it on the grates of my oven, is not heat-conducting and is a Kosher easy way of keeping the Minhag of the Shulchan Aruch.