You can vacuum form both craft foam and Sintra. Most people don't realize that.
Craft foam is easy, but there's a couple of tricks: (1) heat it low and slow, and (2) don't expect it to sag.
For Sintra, you also want to heat it low and slow, and it's good to have a high vacuum system. (Which can be easier & cheaper to make than most people realize.)
When vacuum forming craft foam (EVA foam), you want to get it to about 250 degrees. Since it doesn't sag---it just disintegrates if you heat it too much---you either want to use a touchless infrared thermometer (about $20 on sale pretty regularly at Harbor Freight) or watch for a change in the surface texture... it gets a little smoother and glossier, not so matte.
You can get EVA foam in other thicknesses and densities, and it vacuum forms very well. (I've had good luck vacuum forming pieces of a 3/8" thick TexSport brand camping mat... that's very light stuff, though. For most purposes you want something denser.)
3mm craft foam makes wonderful vacuum-formed masks... flexible, but they hold their shape well. Hobby Lobby has good prices on craft foam.