The home builders do this all the time... Check into the
rec.aviation.various hombuilders groups for detailed instructions on
how to to do this... Also, the COZY MK-4 forum will have archives on
this (I specifically remember reading this topic in the past, with
pictures), as will various websites involving Vans RV builders (I'm
only fmailiar with the RV-7 group, so do some googling)... And, Dan
Checkoway's site (rvproject.com) might have some info (not sure if he
did any heat forming)
Usually the guys are making wing tip strobe light covers, etc., things
with severe compound curves, so a simple bend should be doable without
too much agony...
But, the basic drill is to make a smooth form (wood or plaster), cover
it with felt, heat the plexi in the oven till just softened, quickly
lay it on the form and draw a mandrel/collar down around the perimeter
to stretch/drape it to the form, cool, trim to size, and voila...