The person I know that does it all the time just cuts it up into 4 pieces and smokes them one at a time off of aluminum foil. They hold the lighter under the foil and use a straw to inhale the fumes. They say it gives them a good rush followed by a relatively short high.
If you do decide to try it, be careful not to burn the pill, you want to vaporize it not torch it. It might be helpful to crush up the pill and mix some up with a small amount of water and smoke it out of a spoon.
Try it at your own risk. Your lungs aren't designed to inhale insoluble pill binders and fillers. Oxycontin contains talc as a filler, this is from wikipedia:
"Several studies have established preliminary links between talc and pulmonary issues, lung cancer, skin cancer and ovarian cancer"
Snorting the things is bad enough, small amounts of talc can get into your lungs. Not immediately dangerous but repeated use over a long period of time might cause some problems. Smoking it bypasses your nose and sinuses and just puts the stuff straight into your lungs. Definately not healthy, youd be safer smoking heroin.