An efficient photorefractive effect triggered by pyroelectricity is demonstrated in slab waveguides constituted of magnesium oxide (MgO)-doped LiNbO3 film on insulator. A microwatt-level continuous wave guided at 532 nm is self-trapped to form a 10 µm FWHM beam triggered by only a few degrees of temperature increase of the sample. A fast self-focusing response time on the order of milliseconds is measured for milliwatts of injected beam, more than two orders of magnitude faster than in the undoped LiNbO3 film. Long lived 2-D induced waveguides are found to be written in the films.