Grave, my neighbor is a retired plastic forming guy and helped me out when I was having the same issue. First off, you have to have enough foam to allow the Kydex to deform and shape itself to the knife, secondly, make sure that you're coming up to the right heat. Heat both sides of the Kydex by flipping it halfway through the "warming" time in the toaster oven. IIRC, most toaster ovens only have a heating element either on top or beneath the rack.
I'd make the bed roll at least 3/4" thick by doubling or tripling up layers, also, make sure that you hold pressure on it long enough to allow it to cool. If you're still having issues, try some of BossDog's Foam... it works very well.
Hope this helps,
Mike