Cut it cold. I use a bandsaw, anything similar would work.
If your going to be doing any shaping at all, make the peice way over sized when you cut it. The stuff seems to swell and change dimension a little when you heat it. The edges also curl up on you and are kind of sharp, so the excess around the edges will let you sand things back down and round off edges and corners.
Riveting the peices together is pretty simple, but plan ahead the rivets need to go through where the sheets are flat. If you have to twist things a little to get the rivets and peices all lined up right, be very careful about heating the peice again. The rivets will tear out when the kydex softens up around them.
Your probably going to do a healthy amount of swearing, but it should turn out alright. Kydex isn't hard to work with, but its very tricky to get the kind of results the pro's are shipping out. Practice is all it takes. I've made about 10 sheaths for knives, and came out with 2 that I'm fairly happy with and the rest are just "useable"