I tried doing some clear covers for my bucket-style S10 lights. It was rather thick stuff, but I took an old toaster (it fed me many-a pop tart) and held the plastic inside the toast slot. Took it out before the paper liner started to smolder, used towels to hold it and bent it over the edge of the counter top.
Slowly, slowly, very very slowly, it came to shape. Just a basic curve though, any extra curving angles would be tough.
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