Polycaprolactone (PCL) is a hand-moldable plastic that's useful for hobbyists and prototyping. It's sold under various names like Polymorph, Shapelock, Instamorph, TechTack, etc.
PCL sticks to most plastics. Things it doesn't stick to:
(it helps to make sure they're very clean)
- delrin / acetal
- teflon (PTFE)
- polypropylene (PP)
- FR-4 glass epoxy (PCB)
- Note — warm PCL sticks great. If it cools a bit, it may not stick to things it otherwise would.
- voids / bubbles — how to avoid them?
- colors —
InstaMorph sells their own pigments, but a variety of other pigments work ok, including paint powders, alcohol-based inks, and epoxy dies. 
- surface finishing — use flame heating, or better yet, the back of a heated spoon
- you can cast it with itself???? !?
- Ways to avoid sticking to itself: Cool the surface a bit first, or coat the surface in grease or cling wrap.
- As with all plastic welding, be patient and understand that the thicker the plastic, the longer it will take to heat all the way through. A shorter time at a higher temperature won't work, instead use a longer time at a lower temperature.
- flat sheet — use a rolling pin
(better yet, a pasta machine)
- filament stick — cut a strip from a flat sheet, and roll it on a flat surface until it's round
Webpages that discuss techniques: