In as much as I thermally form the Pannier liners, you'll need a mold in the shape you want the final part to become and some patience if you use a heat gun on plexiglass. Lexan forms but the forming threshold versus the fluid state is so narrow, it can't be readily formed manually.
I actually made male and female dies and heat them with resistance elements to achieve the correct forming temperature plus not only is the temperature critical, the dwell time is, as well. Too long and the material goes from elastic to fluid, too short and the material won't form and hold the shape you want.
All plastics have memory, that is, they want to revert to their original shape unless that is overcome by the correct amount of heat and gthe proper dwell (duration).
My first experience with the liners resulted in a smoked shop and sticky molds. Even with the manufacturers physical data and thermoforming recommendations, there is still some trial and error involved.
It's not as easy as it appears.