A Thermoplastics Primer
Some of this info comes from Spiky Mochi of mochi-mochi.org; he's the real pro and was nice enough to give me lots of advice before I embarked on my first plastics endeavour.
I got my plastic from Warehoused Plastic Sales. It was $34 CAN for a sheet approx. 10x5. Research your area for plastic suppliers.
I use ABS (styrene), usually white. The lower the number (like .30) the thinner the gauge. Thinner gauges will heat faster and shape more easily; heavier gauges will hold their shape better and be stronger.
Make a cardboard pattern first, so you know how big the piece should be when complete and where to cut and whatnot, then cut out the plastic to the same size and shape using scissors or an x-acto knife. Be careful with the knife; it's very easy to slip and scratch the plastic or cut yourself.
There are two methods of shaping: heat gun and oven. Spiky prefers the oven; I prefer the gun. Try both if you like, or stick with oven if you don't want to invest in a gun.
Oven: Heat in the oven - ABS becomes pliable after about five minutes at 150 degrees, and with less time at higher temperatures. If you heat it above 350 or so, it can emit noxious fumes, so don't. (I stick between 170 and 200.) I wear leather or canvas work gloves to handle the hot plastic, because they leave me a little more dextrous than hot pads and that comes in handy for the shaping part.
Once the plastic gets pliable (I suggest pulling it out before it becomes liquid), take it out and either drape it over a form (for gentle curves Spiky uses aluminum sheeting from the hardware store) or shape it with your hands. Let it cool in the air - don't put it in water to cool it, or it does funky curvy things.
Heat Gun: You can get these in the paint section of most large hardware stores; they're used for stripping paint. They usually have a couple of settings; the lowest will probably be hot enough for your purposes. Heat the plastic smoothly, aiming AWAY from your hands, and once it starts to droop, shape it over your form. What I like about the gun is that if only one part of the plastic needs heating, you don't need to throw the whole thing in the oven again. ^_^ For really large curves, though, I'd start with the oven just to save time and to make sure you got a nice smooth curve.
Keep in mind that this stuff is not as 'friendly' as Friendly Plastic; it's not as easily shaped, not as soft, and potentially hazardous, and not really suitable for small and detailed pieces. Don't use masking tape on this stuff, because it sticks REAL good and leaves behind all sorts of nasty sticky residue. You can glue pieces together with a glue made for plastic models (ask at a hobby shop). It heats the plastic and fuses it together; sorry, I don't know the name.
If you're doing a piece that's fairly simple in shape, thermoplastic will be pretty good, but will take a bit of practice. For lots of surface detail or texture, plastic isn't very good unless you have a vacuum-forming machine. ^_^ For info on how to make one of those, go here.