Included is a method of starting up a direct heating device having a fuel introduction zone, a combustion zone and a process zone that is in heat exchange relationship with said combustion zone. Prior to the introduction of a fuel fluid into said combustion zone, an oxidant fluid, having a high temperature, is passed through the combustion zone for a warm-up time period sufficient to raise the temperature of the direct heating device to a desired temperature. Steam or a process fluid is passed through the process zone followed by the introduction of a fuel fluid into the fuel introduction zone. After the device has been heated up a process fluid is introduced through the process zone. Thereafter, the introduction of steam through the process zone may be stopped.