I'm really just getting started in kydex as well, but a few tips I can give you. Use a toaster oven to heat the plastic (preferrably in the garage/shop with lots of ventilation as it stinks to high heaven). Set the temp around 220 or so and watch the plastic. As it just starts to turn up at the edges, it's ready. I tried using a good heat gun, and it took forever and never got the plastic pliable enough for a good mold.
I made my own press using some blue foam roll-up sleeping mats used for camping (about 3 layers per side of the press), some spray adheasive, and a couple of pieces of MDF with long hinges to secure it all together. I use a vice press to close it down REAL snug.
A heat gun will be handy to have for final fitting of the knife in the sheath. A few layers (I use 2 at the most) of masking tape protect the knife and also give you a little bit of clearance for the blade to go in without binding or rubbing the blade too severely.
A kydex rivet press and good rivets make life sooo much easier. I tried getting by with chicago screws, but those are really only suited for fastening a clip through the rivet, and they don't come in short enough lengths (that I've found readilly available) for just securing 2 sides of the sheath together.
Just a note, grit, sand, kydex bits, etc in the sheath WILL scratch blades. I just expect it. The same can happen in leather, though it seems easier to scratch blades in kydex sheaths. Not a problem in a user knife.
Do a search for "kydex tutorial" or the like and you'll find several helpful pic/video tutorials. Also, puruse the "newbies" thread at the top of the page for some great info. I even found a video or two in youtube.
Good luck and have fun! Kydex is pretty forgiving so if you screw up, heat it up and try again.
--nathan