Here's a video of the process:
Source material can be found in the form of plastic milk bottles (also some bottles from household cleaning supplies, toiletries). Some bottle caps are also HDPE.
Briefly, the process comprises:
Cut the bottles and caps up into small pieces - about 1cm square or smaller is good.
Preheat the sandwich toaster (mine goes to 180 Celsius, which is perfect, as this will melt HDPE to a sticky, toffee-like consistency without burning or producing any noxious fumes).
Place a reusable nonstick baking sheet on the bottom plate of the toaster, then add a heap of HDPE fragments. Place another nonstick sheet on top and press the toaster closed.
After a few minutes, the plastic will melt together into a rough sheet - take this out (don't attempt anything without the gloves), peel off the top layer of nonstick and fold in the edges of the melted plastic, then replace the nonstick sheet and put it all back in the toaster.
Repeat until you have a solid blob of melted plastic between the two nonstick sheets - then clamp this between two flat boards to cool.
Once cooled, the plastic will be very tough and rigid - and can be cut and shaped with hand tools, or machined.