Turn on the burner. Set it to the highest possible setting. When it has heated fully, proceed to step two.
Put on the gloves and pick up a sheet of plastic. Make sure that the plastic has already been cut into a workable size for the costume piece that you happen to be creating.
Put the plastic over the heat. You should hold it roughly 12 inches above the burner. The heat will make the plastic flexible.
Shape your piece. When the plastic has been heated to an appropriate level, use your hands to manipulate the plastic into your desired form.
Retain the shape. The natural properties of the plastic will make it want to revert to its original shape, so apply pressure until it is able to retain your changes without bending/moving on its own.
Allow the piece to cool. This can take quite some time (depending on what type of plastic you use), so don't be too eager, or you could potentially undo all of your hard work by touching it too soon.
Finish and paint the piece.