Yes, I have..... I cooked a 9 x 13 cake on the grill once and it came out just great! I placed 4 empty tuna cans on the grill and then set my pan on top of the cans. It's probably something I would not do every day, but we had a storm and the lights were out for several days. We wanted cake so I cooked on the grill and it worked out just fine. Oh, by the way the grill was propane, but I don't see why it wouldn't work with coals the same way.