Me and my friend did it once when we were little. We were bored, and immature so these things tend to happen lol. I don't think I'd ever do that now though. I try to be kind to god's creatures nowadays, plus melting a slug is just damn gross to see.
Although I have a rule; If an insect is enters my house, especially my room, it does so at its own risk. You trespass my property, you get punished.