I toyed with it for a long time. Even have a couple of old wire-type heaters I might use (though I might repair them too. It's colder than a witches titty in the garage). I also experimented with heat bending PVC pipe too.
So far, I've been doing the same as you and using a heat gun for that. It's tolerable but it's tough to make professional looking tight bends.
I'm kind of torn between a vacuum forming rig or a heat bending rig, I only have enough heat elemnts for one really.