The best places to look for information (and help) about do-it-yourself vacuum forming and homebuilt vacuum formers are:
1) The Vacuum Forming forum on the discussion board at www.tk560.com.
TK560 is the most active site on the web for information and advice on making and using your own vacuum former. The site overall is largely oriented toward Star Wars fans who make their own costume armor (stormtroopers, etc.) but the vacuum forming forum is general. It's also very friendly and helpful. Various people there make aftermarket automotive parts, replacement car and airplane parts, model parts (plane parts, boat hulls, and car bodies), and custom furniture, as well as costume stuff (masks, armor, props, etc.).
A number of people there have built largish vacuum formers more or less according to plans in Thurston James's book, The Prop Builder's Molding and Casting Handbook. (The book is not free, but it's a good deal.) The standard size "TJ machine" is 2 feet by 2 feet (or 4' x 4'!), but there are 2' x 3', 2' x 4', and metric variants. You can build a 2 x 2 foot former with its own oven for under $200, if you're content with a vacuum cleaner as a vacuum source. (That's fine for thin plastic.) If you want a high-vacuum system for forming thick plastic, the cost will be somewhat higher, depending mostly on how good a deal you find on a vacuum pump.
If you want to know how to make large, inexpensive vacuum formers, the troopers are the go-to guys. Jim Egner's step-by-step article shows how it's done. With the book plans and a few tips from the discussion board, anybody can make a good large vacuum former. (Welding is not actually required; only common tools---a drill, a saw, etc.)
Plenty of people there have also built smaller, even-less-expensive vacuum formers, including 12 x 18 inch setups that cost around $30 (using a kitchen oven and a vacuum cleaner), and taking only an hour or two to make; if you only want to build a small, very inexpensive vacuum former, you'll fit in fine.
2) The vacuum forming forum on the discussion board at www.CNCzone.com. Amateur and professional machinists hang out at CNCzone, and there are some professional plastics-forming people who post in the vacuum forming forum.
3) The vacuum forming forum at www.hobbymolding.com. (Hobbymolding is a site for primarily amateur molding and casting in a variety of materials.)
One commercial site is also worthy of mention: www.build-stuff.com. They sell Doug Walsh's classic book, Do It Yourself Vacuum Forming for the Hobbyist, and his plans for the excellent Hobby-Vac and Proto Form machines. They also sell books and videos on molding and casting and other subjects, and sometimes surplus vacuum pumps. (You can get Thurston James's book there, too.)