Plexy may not be such a great thing. Just like regular glass, if a small crack forms, it can begin to travel through the whole piece, and crack from one end to another. Heating can be an issue too. If heated too hot, it can bubble, but that goes for just about any plastic. I've never used it, but I know a member here has had GREAT results with sintra. It's a dense foam based plastic, that can be heated and formed, and is a bit more flexable and foregiving. It can be cut with an exacto blade, and heated with a heat gun, or boiling water.
I've seen him work with the stuff and it seems pretty easy. I'm pretty sure you can order the stuff on line, and I don't think it's that expensive. Look for posts made by Seeker in the Jango Fett forum concerning the use of sintra....