Tracy has a tutorial on Kydex in the tutorial section that is very helpful. As for heating and forming you can use a heat gun which is around 20 to 25 bucks; I think the one at HF is around 15.00. Or you can do as Tracy did and use a hot plate. I use both the heat gun and plate. You can catch the hot plates on sale for 15 or 20 dollars.
You put the Kydex or Concealex on the hot plate and heat it at 300 to 350 degrees. You want it to get the feeling of pasta and you will likely need to use some thin cotton gloves because it will get you attention at 300 degrees. You wrap your item, such as knife in the warm Kydex, place it between the two pieces of foam, place it into the press, and the torque it down. Leave it alone for around 4 minutes, take it out, and you have a formed Kydex sheath. If it moved or something when you were putting it into the foam, just reheat it and do it all over again, it is fairly forgiving.
The stuff works great but it will scratch the crap out of mirror polish.