I won't deny using such nonsense as a heat gun or candles or propane torch when I was growing up, but that's a disasterous way to do it. If you're trying to make a single bend you need a strip heater. All the controlled heat raising the tempurature right where you want the bend to be and NOT heating irratically along a wavy path. Ideally you need to stop heating it at the forming temperature to prevent monomer bleedoff, (Cracks, crazing, bubbles, etc.) but good luck judging the temp. Basially just keep flexing it and letting it go and when it doesn't just snap right back to the old shape that's about ready.
If you don't want to pay nearly $240 for this one, http://www.tapplastics.com/shop/product.php?pid=291&PHPSESSID=201203282224231568928160 then for $74.95 you can get just the element and build your own. http://www.tapplastics.com/shop/product.php?pid=169 Or if you have an old wall heater from your bathroom with a heating element strip you could remove you could build it with that.
http://www.instructables.com/id/Poor-man-s-200-dollar-plastic-heat-strip-for-penni/
I don't even want to watch that video because I can't believe a person who uses a heat gun knows his thermoforming. I'm most accustomed to sheet acrylic, but I've stooped as low as to use styrene. Keep in mind that plastic has a forming temperature, a melting temperature, and a burning temperature. All that means is if you go above forming temperature where you want to bend it or if you even get to forming temperature where you don't want to bend it you've ruined the sheet of plastic. You get it to the point where you can bend it and you WORK FAST.
If you take two pieces of wood with maybe some cloth wrapped around it you pinch the plastic between them right where you want to bend it. If you want to bend 180 degrees you can take the inner piece of wood off after bending the first 90 then bending all the way and pressing it between the wood blocks. If you want a 90 degree bend, a 3rd piece of wood can press the perfect bend.
You could shape a box by cutting out the shape such as a tictactoe board with the 4 corner squares gone, then bending the 4 side squares up. But that gets tricky. You would probably want to hot gas weld the plastic together, also known as plastic welding. But without the bending you could just plastic weld squares together to form the box.
One better way to do this could be vacuum forming. http://www.instructables.com/pages/search/search.jsp?cx=partner-pub-1783560022203827%3Anpr2q7v5m6t&cof=FORID%3A11&ie=ISO-8859-1&q=vacuum+form
Another would be casting. Oh, casting can become VEEEERRYYYYY useful. This company has all sorts of video for you, let's start with mold making. http://www.smooth-on.com/media_video.php?category_id=1&category_name=Basics Of Moldmaking Videos
I'm partial to casting urethane parts. But silicone is a terrific mold, though not as durable if you need many.