thick or thin, the heat that it bends is around 280F... not sure if a hairdryer would achieve that temp... unless you've juiced it...
Cigarette Lighter works for me just don't get the flames to close and keep moving the lighter never stop it may turn it black but most of the time you can just wipe it off. I have used a hair dryer and a little heater and none of those bent it for me but it just might have been the hair dryer. I used a propane torch and it work but got the plexi-glass to hot and made little bubbles so the Cigarette Lighter has been the best so far. Oh yeah all this was done on 1/8th inch plexi-glass.
I bent all mine using a heat gun it takes some time to get it to temperature. Pics here http://www.gordonhandley.co.uk/php-cgi/gallery/plexi
You can also use the oven...just be careful...wouldnt want you starting a fire or anything. If you have something you want to use as a mold, preferably metal, you can lay the acryllic over it and let the oven heat it up until it bends...let gravity do the work. Again, I would take it slow with this method...a certain temperature for 15 minutes, then up it a little for 15 minutes, then up it a little more, etc, until it bends. Too high and the entire thing could go molten on you.
Bah, thats all for the bending? I could only find a heat gun that does 750 and 1000deg F heat. Bought it at Lowe's for USD$30. Have yet to plug it up, plan on it soon after pictures are taken. Weeeeee.