I use a small, inexpensive convection oven that sits on the counter right next to my work surface. It cost around $60.00 at Wal-Mart a couple of years ago. I put as many ceramic tiles as possible on the floor of the oven to act as 'heat sinks' and put oven thermometers on both shelves. There are two heating elements on the top and bottom for a total of four. When baking I try to put the items I'm baking between the elements, in the center of the oven.
Since my little convection oven does not overheat or spikes, I have not experienced 'fumes' but, often baking clay has a faint 'smell'. None of the smells have ever bothered me but they do bother some folks a lot.
If baking translucent or white clay I 'tent' the clay using heavy duty foil. I also tent any item that is filled with or surrounded by Fiber-Fil® polyester stuffing. Beads and other unique shapes are baked in a bowl of corn starch. I've used the last bowl for over four years.
I have very successfully used my gas range for a very long time for baking larger projects. I've not had any problem with fumes or the stove needing to be cleaned afterwards.
I always use heat sinks in what ever I am baking to prevent spiking temperatures. When making miniature for seven years I used the same toaster oven with heat sinks and baked on ceramic tiles and never lost a batch of tiny doll house miniatures to browning. Also, I do not use any clay except a strong clay like Premo, Pardo, Fimo Classic or Professional and Kato. Great clays all.