^ you're doing something wrong, IV oxycodone has a bioavailability substantially higher than snorting (probably about 1.5-2x as high) so there is no reason that you should need twice as much IV over snorting unless you're doing something wrong (as far as I can tell).
DO NOT heat pills you are going to inject. If something isn't dissolving, if its gelling, etc. then heating it just momentary dissolves it so the shot looks nicer and then you accumulate all that shit in your veins, lungs, etc. Opioids are very water soluble so if you sufficiently crush the pill and add it to water, whatever doesn't dissolve is binders, fillers and other shit you don't WANT to dissolve into your shot.
If its an abuse-proof pill that gels or poses other problems for IV, look around for specifics on certain pills. Some you can relatively safely defeat and some you're just going to do damage to yourself if you try to use parenterally.
Specifically regarding smoking - ever heard of opium? The major active constituent is morphine so of course its possible but that doesn't mean that its the most effective route and given that its a pill, its certainly not the safest.
If you want the most bang for your buck and you give 2 shits about safety AND don't mind putting things in your ass, then your best bet is plugging. If this is something you'll consider, do a little research on proper technique, please don't just stick the pill up there. For this route, the bioavailability will be roughly equivalent to consuming orally or instranasally but many feel its more potent/recreational likely do to the speed of onset.