I got a heatgun, as suggested to me in this thread:
http://z15.invisionfree.com/The_Great_Crus...?showtopic=2126

But it came with no instructions.
I tried it anyway but the plastic rods suddenly gnarled up under the heat.
I think I had them to close to the heat gun.

Can anyone advise me on how to use the heatgun properly?

After receiving no replies to this question here, or on other forums, I tried asking Jeeves (ask.co.uk) about this and I found one pertinent link on the first page.

The guy, whose page it was, said he used a DIY heatgun and did it by propping the gun up and holding the plastic rod into the heat with both hands.
That way he could feel when the plastic softened, take it from the heat, bend it, and put into cold / ice water so it holds it shape.

He said if you don't use both hands then the plastic rod goes wobbly.

Guess what I was doing?
Heatgun in one hand, plastic rod in the other, and the plastic went wobbly!
D'oh!

Thank you Jeeves!

I tried this method.
Destroyed at least 3 rods before I got one kinda the right shape (horseshoe).

Today I used the hot water technique, with a former to shape it, to refine the good one. Success!
Then I used the hot water + former to make two more with good results.

Now I can proceed with my Chariots!

Don't you want the plastic to go wobbly? That means it's pliable and can be shaped.

If it's like a paint stripper heat gun then you need to hold it well back and keep the rod/plastic moving all the time. The intense heat will make the plastic blister if held over a single spot too long.

I found a hairdryer worked better than those things TBH.

Arden Fell; It was one of those heated blowers designed for Hobby-Card makers to melt embossing powder onto the card. So it's not as hot as a paint-stripper, but hotter than a hairdryer.

As for a Hairdryer, I don't think we have one in the house.

Considering I got the best results with hot water, I'll stick with that for similar items.
But I think the heatgun would be good for making pipework out of plastic rods.