In Argentina we love both fried and oven baked empanadas. In some regions, people fry them in beef or pork fat (believe me, they are delicious).
When you bake them in the oven, the idea is to get them brown but tender, not crunchy. In order to get this result, you should bake them at high temperature (230 degrees or more) for a few minutes. If you bake them at lower temperature, you will get an undesired golden brown, dry and crispy crust. If you do not feel confident about baking them directly on the baking sheet, you can use parchment paper so they do not stick; we do not do that, but it might help you the first times.
If you have a deep fryer, you can also fry them at 170/180 degrees until golden brown. In this case, you do not want a higher temperature because this will make your oil burn before the empanada is fully baked.
Are you thinking of baking them in the airfryer? This is a good option when you want to bake or warm up a few pieces.
For the Ooni fans, stay tuned! We are soon coming with all the tips and tricks to bake them in this gem.