You can make a good vacuum former for about $40, in an hour or so, and use your kitchen oven to heat the plastic, and your vacuum cleaner to suck the hot plastic into shape.
Check out this Instructable at www.Instructables.com for detailed instructions on how to make one. (It doesn't require any special tools or skills.)
Here's a little demo movie of the cheap homemade vacuum former in action:
As you can see in the video, this high-tech "vacuum forming machine" is mostly a board with a hole in it and a gasket (made of weatherstripping foam tape from the hardware store), plus a pair of homemade aluminum frames to clamp the plastic between (made from DIY windowscreen frame parts that you just cut to size and plug together).
What's not obvious from the video is that this isn't just a cheap vacuum former---it's actually a good one. It's more capable than most homemade vacuum formers that you may have seen---those boxes covered with pegboard---and better than machines you can buy for $250. You can easily upgrade it to add an inexpensive high-vacuum system for forming thick plastic and/or getting finer detail, or add a standalone oven for about $30 so that you're not stuck in the kitchen. (See the sidebar for a link on how to make your own oven.)