Amethyst angel's technique is not thermoplastic AFAIK, so you may want to check hers out first.
Thermoplastic is not terribly expensive, but I don't know how big your budget is.
I get PVC thermoplastic sheets at my local plastics store for $1.25 a square foot, and Comatex foam plastic for $1.60 a square foot.
Add in a one-time cost of about $20 for a dual-setting heat gun from a hardware supply store. (With dual-setting I bet you will use the higher setting - I use the $30 7-setting heat gun. Ooo - ten bucks more for all the in-between settings! )
Wear heat-resistant gloves (I use a face shield too), be VEEEEEERY careful (I can't stress this enough!), and do not do this indoors. One word: Fumes.