Step 1Turn the broiler/grill (top element) of your oven to medium high. Prepare the vegetables: cut the zucchini into 1 cm/ 0.4" thick slices, the capsicum and onion into 3 cm/ 1.2" squares, and the mushrooms in half (or leave whole if small mushrooms). Cut the halloumi into 2 cm/ 0.8" squares.