On the shores of Furnas Lake, sleves have been installed where volcanic steam vents to the surface. There are many of these steam sleves dotting the shores, where restaurants and residents alike can picnic while their Cozida cooks. These days the Cozida is so popular that residents have to come very early in the morning to find a vent hole to put their cozida in.
As you can see in the picture, the Cozida has been placed in its bucket and lowered into the earth. A wooden cover has been placed over it, and dirt mounded around the whole thing to keep the steam inside so it can cook the Cozida.
According to some people I've spoken with, the best place to find Cozida like this is at Restaurante Tony's at Largo da Igreja, 5 in Furnas.