I made this one for my wall. I intended on adding flashing lights for explosions and machine gun fire, but have not gotten there yet. If I do it again, I will make the sides deeper.
A router with a slotting bit (like the one used for T-Molding) will work if the bit is sized a bit bigger than the plexi, or if you make multiple passes to get the right thickness.
In my opinion, it is easier on the table saw. Cut a slot, and then adjust the fence slightly to make the slot big enough for the plexiglass.