I wrote up a tutorial here a while back for Kydex, but I cant find it. I use a toaster oven at 300 degrees for several minutes to heat it up for the initial bend and then use a heat gun to finish fit the handle. The finish fit is the tougher part. A heat gun does not work as well because you cant get uniform heat. I have done it, but the result is not nearly as clean. Once its nice and plyable I wrap the blade and part of the handle and put it in a press for about 30-60 mins.

I need to find that darn tutorial since a picture is worth.......