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I don't believe CF can be heat molded - I think it's more like a fiberglass type product that is wet molded before the resin sets. That would make it a royal PITA for sheathmaking in small batches.
By the way, MM, nice avatar.
I've never worked with CF but have done fiberglass, and I think the process is similar enough. If you wanted to DIY it, I'm sure you could but it is a huge pain in the neck to work with. It's a real mess and not easy to make look good.