The process is essentially pretty simple. A plastic sheet is held in a rack over a heat source until it becomes soft and elastic. Previously a mold, or "Buck", to be vacuum formed around, has been placed on a vacuum table. The vacuum table is a sealed box with a top riddled with holes air is drawn through the holes and air pressure acts to push the plastic down over the buck where it cools holding its shape.
This will all probably make a little more sense if you see it. Here is a small video demonstrating the process. (Turn down your volume before watching it).
The picture pretty much shows you what you need to build. All it takes is scrap lumber, hinges, and a heating element. I found that I could get all the wiring and electronics from a $10 toaster. You get heating plates, switches, high temperature wire, and a wall plug. I did line the area below the heating plat with sheet metal to help protect the wood and reflect the heat up to towards the plastic