Step 1: Fusing the plastic
Your first step is to create a large, thick sheet of plastic. You'll probably want to start out by making a small practice sheet, so that you can get a feel for the process and the material.
WARNING: If at any time you see smoke or smell any fumes coming from the plastic, Stop. You're doing it very wrong. You only want to heat the plastic enough so that the layers will fuse together, and as far as I know this will not release any fumes. However, as always, you should do this in a place with decent ventilation, just in case.
I like to work on the table or the kitchen counter, with a towel covering the surface. Ironing boards are annoying to use for this because they are so narrow.
Take 2 grocery bags and cut off the handles and the seam at the bottom, so you're left with a nice rectangle. Lay the bags flat on top of each other, and sandwich them between 2 sheets of aluminum foil or parchment paper (used for cooking).
IMPORTANT: Do not touch the iron directly to the plastic. It will melt and burn and smell bad and your iron will be nasty.
You'll have to play around with the heat settings depending on how thick your sheet of plastic, but for one bag, start out on a medium or low setting. When you press down the iron, you should hear a quiet crinkling sound as the plastic contracts and fuses. If you get a lacy pattern of melted holes, the iron is too hot.
If you're using parchment paper, which is translucent, it's easy to tell where the plastic has fused and stuck to the paper.
Start out with a light pressure and don't stay in one place for too long. Wait a couple seconds for it to cool before you lift up the foil/paper, so you won't rip the melty plastic. As your sheet of plastic gets thicker, you may need to increase the heat setting on the iron.
Don't leave any air bubbles or unfused spots, or your plastic will be weak! Make sure you keep flipping the plastic over and ironing it on both sides.