Waste heat can be directly converted into electrical energy by performing the Olsen cycle on pyroelectric materials. The Olsen cycle consists of two isothermal and two iso-electric field processes in the displacement versus electric field diagram. This paper reports, for the first time, a procedure to implement the Olsen cycle by alternatively placing a pyroelectric material in thermal contact with a cold and a hot source. Poly(vinylidene fluoride-trifluroethylene) [P(VDF-TrFE)] copolymer thin films with 60/40 VDF/TrFE mole fraction were used. A maximum energy density of 155 J/L per cycle was achieved at 0.066 Hz between 25 and 110°C and electric fields cycled between 200 and 350 kV/cm. This energy density was larger than that achieved by our previous prototypical device using oscillatory laminar convective heat transfer. However, it was lower than the energy density obtained in previous “dipping experiments” consisting of alternatively dipping the samples in cold and hot silicone oil baths. This was attributed to (1) the lower operating temperatures due to the slow thermal response achieved using heat conduction and (2) the smaller electric field spans imposed which was limited by the smaller dielectric strength of air. However, the proposed procedure can readily be implemented into devices.