I'm not entirely sure what you can use, but I'm fairly sure polystyrene wouldn't work very well-- unless it was very, very thin. I don't think a heat gun would get hot enough to mold it, but I might be wrong. Vacuum forms get very, very hot, much hotter than I believe a heat gun can.
I've never tried it myself, though. Now I'm curious...
Do you have a TAP Plastics in your area? If you do, you could stop there and they may be able to offer you some advice.