I don't know yet! I was going to try just heating it first and messing around with trying to make a magazine holster.
That's how I made my first few holsters - just be ready to be disappointed with the results compared to commercially available stuff. I made mag carriers and "taco" style holsters (where the kydex wraps around the slide and sides, like a taco shell) and while you *can* get reasonable definition, and a "click in" type of retention, its a lot harder to do with your hands vs foam, and its really easy to overheat the kydex and burn it that way.
I also burned up my wife's hair dryer until I learned to get a heat gun, and then later to use an oven or an electric griddle to heat the kydex.
I'm in the process of moving on from even the electric griddle (which has worked remarkably well - better than the oven because you have more control and observation of the heating of the kydex) and I'm moving to a t-shirt press to heat my kydex. That's how a lot of holster makers are now heating the kydex. Temperature control is better, and it keeps the piece flat as its sandwhiched between the cast iron plates. Kind of like sous vede for a steak, its also easier to gain and maintain temperature vs overheating.
If you want to do adjustable retention on a holster - cut out a piece of wood (mdf, ply, or balsa) 3/8 or 1/4 inch thick and secure it to the gun with painters tape. Works on magazines too. Then get some appropriately sized faucet washers from the hardware store to have a firm, compressable material. I use the blue painters tape mostly, but the green stuff leaves less residue. Same for blocking out channels for the gun's controls - just cut a thin piece of wood that'll just cover the controls so they don't drag and tape it down well.
I use wooden dowels or square hobby sticks (Hobby Lobby or Michaels has them) for sight channels.