Polyethylene Terephthalate, that is PETE/PET or #1, may also work.
EDIT: Thanks to reader concern, I will state what may not be obvious from the pictures: there are no fumes. There's no smoke, no fans, no inhalation hazard. If there's smoke or fumes, you're doing something wrong and you're burning the plastic. That's why you use oil for temperature regulation.
The plastic bags do this alive-shrinky thing that looks really neat, so I took a video!