You can do it.  In some cases it is the best bet, but in others you will want to use a hot water bath.  Larger or more gentle re-shaping is tough to do with the heat gun as it is very easy to overheat one spot on the armour (and then you will have trouble).  For most reshaping I recommend putting the plastic in boiling hot water for a minute or so, taking it out and bend into shape, and then run the plastic under cold water.