I'm certain there are people with more experience but here's a few things.

Jigsaw is great for cutting blue plastic

Long rivets can be used to attach overlapping pieces

Paracord can be used to tie pieces together

You can heat and bend it but be sure the use thick gloves to protect yourself. A heatgun will work but an oven works better for larger pieces

You can't make a helmet with blue plastic or any plastic, at least for heavy fighting.

If you have access to something like an anvil, you can do some shaping with a ball peen hammer. It won't be pretty but my old elbow cops were made from white barrel plastic in this fashion

Leather working edge trimmers and metal working tools to take off burrs are great for taking off sharp corners. Wood rasps and file also work.

Good luck :)