Unfortunately, we do not carry separate oven bags for the Zappbug Oven 2. These items only come as a set.
Yes, you will have to set up the ZappBug Oven 2. Starting on page 7 of the manual are step by step instructions to assist you in putting this product together. Please let us know if you have any additional questions.
Per the manual for the ZappBug Oven 2: Consult the manufacturer of items in question (such as electronics) for a maximum safe temperature before placing them in the ZappBug Oven. They can be reached at (206) 430-5514.