diff --git a/docs/misc/changelog.rst b/docs/misc/changelog.rst
index 564f426..0efe1b9 100644
--- a/docs/misc/changelog.rst
+++ b/docs/misc/changelog.rst
@@ -39,6 +39,7 @@ Others:
 - Exposed modules in `__init__.py` with `__all__` attribute (@ZikangXiong)
 - Removed ignores on Flake8 F401 (@ZikangXiong)
 - Upgraded GitHub CI/setup-python to v4 and checkout to v3
+- Set tensors construction directly on the device
 
 Release 1.6.2 (2022-10-10)
 --------------------------
diff --git a/sb3_contrib/ars/policies.py b/sb3_contrib/ars/policies.py
index 4b1a677..b44e576 100644
--- a/sb3_contrib/ars/policies.py
+++ b/sb3_contrib/ars/policies.py
@@ -4,7 +4,7 @@ import gym
 import torch as th
 from stable_baselines3.common.policies import BasePolicy
 from stable_baselines3.common.preprocessing import get_action_dim
-from stable_baselines3.common.torch_layers import create_mlp
+from stable_baselines3.common.torch_layers import BaseFeaturesExtractor, create_mlp
 from torch import nn
 
 
@@ -68,6 +68,8 @@ class ARSPolicy(BasePolicy):
         return data
 
     def forward(self, obs: th.Tensor) -> th.Tensor:
+        # Make mypy happy:
+        assert isinstance(self.features_extractor, BaseFeaturesExtractor)
 
         features = self.extract_features(obs, self.features_extractor)
         if isinstance(self.action_space, gym.spaces.Box):
diff --git a/sb3_contrib/common/recurrent/policies.py b/sb3_contrib/common/recurrent/policies.py
index 7cb5b37..953fafd 100644
--- a/sb3_contrib/common/recurrent/policies.py
+++ b/sb3_contrib/common/recurrent/policies.py
@@ -403,8 +403,10 @@ class RecurrentActorCriticPolicy(ActorCriticPolicy):
 
         with th.no_grad():
             # Convert to PyTorch tensors
-            states = th.tensor(state[0]).float().to(self.device), th.tensor(state[1]).float().to(self.device)
-            episode_starts = th.tensor(episode_start).float().to(self.device)
+            states = th.tensor(state[0], dtype=th.float32, device=self.device), th.tensor(
+                state[1], dtype=th.float32, device=self.device
+            )
+            episode_starts = th.tensor(episode_start, dtype=th.float32, device=self.device)
             actions, states = self._predict(
                 observation, lstm_states=states, episode_starts=episode_starts, deterministic=deterministic
             )
diff --git a/sb3_contrib/ppo_recurrent/ppo_recurrent.py b/sb3_contrib/ppo_recurrent/ppo_recurrent.py
index 12a8c7f..ee71471 100644
--- a/sb3_contrib/ppo_recurrent/ppo_recurrent.py
+++ b/sb3_contrib/ppo_recurrent/ppo_recurrent.py
@@ -163,12 +163,12 @@ class RecurrentPPO(OnPolicyAlgorithm):
         # hidden and cell states for actor and critic
         self._last_lstm_states = RNNStates(
             (
-                th.zeros(single_hidden_state_shape).to(self.device),
-                th.zeros(single_hidden_state_shape).to(self.device),
+                th.zeros(single_hidden_state_shape, device=self.device),
+                th.zeros(single_hidden_state_shape, device=self.device),
             ),
             (
-                th.zeros(single_hidden_state_shape).to(self.device),
-                th.zeros(single_hidden_state_shape).to(self.device),
+                th.zeros(single_hidden_state_shape, device=self.device),
+                th.zeros(single_hidden_state_shape, device=self.device),
             ),
         )
 
@@ -239,7 +239,7 @@ class RecurrentPPO(OnPolicyAlgorithm):
             with th.no_grad():
                 # Convert to pytorch tensor or to TensorDict
                 obs_tensor = obs_as_tensor(self._last_obs, self.device)
-                episode_starts = th.tensor(self._last_episode_starts).float().to(self.device)
+                episode_starts = th.tensor(self._last_episode_starts, dtype=th.float32, device=self.device)
                 actions, values, log_probs, lstm_states = self.policy.forward(obs_tensor, lstm_states, episode_starts)
 
             actions = actions.cpu().numpy()
@@ -281,7 +281,7 @@ class RecurrentPPO(OnPolicyAlgorithm):
                             lstm_states.vf[1][:, idx : idx + 1, :].contiguous(),
                         )
                         # terminal_lstm_state = None
-                        episode_starts = th.tensor([False]).float().to(self.device)
+                        episode_starts = th.tensor([False], dtype=th.float32, device=self.device)
                         terminal_value = self.policy.predict_values(terminal_obs, terminal_lstm_state, episode_starts)[0]
                     rewards[idx] += self.gamma * terminal_value
 
@@ -301,7 +301,7 @@ class RecurrentPPO(OnPolicyAlgorithm):
 
         with th.no_grad():
             # Compute value for the last timestep
-            episode_starts = th.tensor(dones).float().to(self.device)
+            episode_starts = th.tensor(dones, dtype=th.float32, device=self.device)
             values = self.policy.predict_values(obs_as_tensor(new_obs, self.device), lstm_states.vf, episode_starts)
 
         rollout_buffer.compute_returns_and_advantage(last_values=values, dones=dones)
diff --git a/sb3_contrib/tqc/tqc.py b/sb3_contrib/tqc/tqc.py
index 6ec91a1..17151e8 100644
--- a/sb3_contrib/tqc/tqc.py
+++ b/sb3_contrib/tqc/tqc.py
@@ -175,7 +175,7 @@ class TQC(OffPolicyAlgorithm):
             # Force conversion to float
             # this will throw an error if a malformed string (different from 'auto')
             # is passed
-            self.ent_coef_tensor = th.tensor(float(self.ent_coef)).to(self.device)
+            self.ent_coef_tensor = th.tensor(float(self.ent_coef), device=self.device)
 
     def _create_aliases(self) -> None:
         self.actor = self.policy.actor