At school, we have 2 vacuum formers, which basically melts a sheet of plastic , covers the mold with the sheet of plastic, then a vacuum sucks all the air out of the machine and the plastic is pulled down over your mold where it then cools and hardens in the shape of your mold. Keep in mind though, that this method is not good for making 1 solid piece, it doesn't handle gaping holes very well, and if you hvae negative draft (here is a quick ascii drawing: positive draft=/| , normal=|, negative draft=\| ) it will be next to imposible to recover the mold and you will most likely damage the final formed piece of plastic.
Other methods are making a silicone mold, concave/inversed and pouring some plastic resin, such as hdpe or something of htat nature into the mold and letting it harden over night to form a solid piece.
THose are but a few of the methods we used at school for some of our industrial design projects.
If you have any other questions about it, I'd be happy to answer any questions.
And despite what some of my other classmates would say, balsa foam does work as a good molding material for vacuum forming, youjust have to lube it up well with baby powder or vasoline so you can recover the mold, or else the top layer of hte balsa foam will melt to the inside of your plastic piece.
Making a vacuum-forming table is the only really difficult part of vacuum-forming. Creating a vacuum mold will allow you make multiple attempts. In addition, if you choose to make a transparent piece, acrylic and plexiglass can be shaped.
Fiberglass, which is fairly cheap and easy, is a little more time-consuming, but will allow you to fit odd spaces pretty easily. On the other hand, it's smells horrible and it can get pretty messy. The big advantage is you can add additional resin and subtract with sandpaper to get the perfect shape.
Do a search on google for "fiberglass kick panels" and you'll get some pretty good ideas on how the fiberglass works. The best tutorial I've found on vacuum-forming is a guy who makes stormtrooper costumes. I'm a Star Wars fan, but I swear to God that I found it based on vacuum-forming searches. The guy is thorough, but anyone who makes one of those costumes is in serious need of a life. You can find the site through google.
I'm making my mp3 player case through vacuum-forming, but my amplifier rack and speaker pods are being done with fiberglass. When you get an idea for the procedures, it will be easier to decide what suits your needs.