You can burn in a sheet steel skillet in two different ways, using the oven and the stove. You can do this only if there are no wooden or plastic handles on the pan. The pan must be made entirely of sheet steel. 

A characteristic of these pans is that the steel is discolored. An intensively used steel pan is therefore an "ugly" pan with lots of dark discoloration. The pans get better the more you use them. They also remain "greasy" to the touch, but that is just fine.