I usually try scraping and peeling off what I can and using acetone (nail polish remover) to remove what I can. I'm not sure, but I've read that you can put another cloth over the HeatnBond, iron it, and the Heat n' Bond will peel away with the cloth if you grab it quickly enough. If you want to try that, do it before trying acetone.
I'm confused on how you used the HeatnBond though, which may be the reason why it's not working. Are you using the HeatnBond that comes in yards and making patches or are you using the tape kind and putting parts of the costume with it (like hemming it)?