Gloves!! I know it goes without saying, but still, it's important.
Go slow, test the gun on a spare strip of plastic first, so you can get the feel of it and how much heat it takes.
If possible, look for a heat gun that has a "Cool" setting, or have some kind of cool air or water source to help the plastic stay in the position you mold it to.
You don't need to crank the heat gun all the way up to high. Read the instructions and see what the temperatures your gun is capable of. Start low and work your way up.