The internet said that you can use a heat gun to heat the PVC but if the PVC catches fire, you can't put the fire out at all because PVC can burn without oxygen and you get terrible fumes so you should not to do it in the house. That was enough to scare me off of using a heat gun.

I got the idea of heating it from this video: https://www.youtube.com/watch?v=kZ753N-OOe8
The pieces were long so I thought I would bend it in half and get the middle warm and bend it in half to submerge it completely in the hot water. I managed to do that, but it didn't work very well. In the end I got a section hot and then bent it, then got the next section hot and bent it.
The internet promises that you can get the PVC to a wet noodle state with an electric blanket and then bend it the way you want to, but I never succeeded in reaching the wet noodle state. The home electric blanket didn't work at all.
The hot water worked out okay in the end though. The water might have been about 150 degrees or so. It was steaming but not boiling.