Melt off the lube in an oven as you described, but put the bullets on a wire rack above a pan to catch the wax so they don't end up in a puddle.
Wash the bullets in a solvent to remove any remaining wax.
When using solvents I usually start with alcohol and work up if necessary to paint thinner, lacquer thinner, acetone, etc. Whatever cuts the wax effectively.
Sounds like a lot of work though; I'd probably just shoot them up as is.
Shooting lead bullets in a Glock
