Well melting will occur regardless. No matter how fast or slow you go, the tip will heat up with friction. Going slow would obviously give more control, but going faster may give a cleaner cut. I've never done it so I couldn't say...
Oh by the way... Lexan is NOT like plexi... it won't "chip or break". Take a spare piece, set it on your garage floor, and hit it as hard as you can with a hammer. You'll see what I mean. The stuff drills and cuts without breaking. The only thing to be careful of is the melting. I haven't figured a way around that yet. But on a nice note, you can sand the edges when you're done so if you cut it with maybe a 1/8 extra around the edge you can sand it down to the right size. At lest, that's what I did. Also I've heard that sandwiching the Lexan can avoid the burrs you get from melting, but I've never tried it
Oh and I don't forget the eye protection. Those little flying pieces of plastic are molten hot and they sting the skin when they touch. Imagine how that feels in your eye.