The plastic I use in vac-forming is either acetate or ABS, depending on whether it's clear or not. The poystyrene sheets that came with my Vac-u-form are long gone, lol... For styrene sheets and strips, go with Evergreen. Plastruct is ABS and molded into structural shapes (angle iron, flats, channel, I-beams, etc) and doesn't seem to like the cement I use, Testor's Liquid, but I use it anyway, or CA... I'd imagine that Tenax will work on it nicely though, plus Plastruct has it's own brand of cement for it's stuff, though I've never used it...
At the plastics place, you should have any issues with what they use though, even if it's Plexiglass/PVC or anything not polystyrene, except polyvinyl That stuff hates paint and most glues... It's going to boil down to the glues you need to use to join the materials, rather than the material itself...
Also, a good source for polystyrene that's dirt-cheap is the plastic "garage sale/For Sale/Beware of Dog"-type signs in the hardware store... They can be a little thin, but there's no reason you can't laminate them for thicker stuff...
There's several places you can get plans for building your own vacuforming rig as well... It may seem daunting, but it's really not, and once you start vacuforming your own stuff, you'll look back in amazement and wonder how you ever lived without it... Here's a couple:
http://www.hyperscale.com/2007/reviews/tools/vacuboxreviewfm_1.htm
http://www.starshipmodeler.com/tech/jw_vac.htm
http://www.robots.ox.ac.uk/~wmayol/resources/nacipobre/index.html
I may have strayed a bit from you topic, but I thought you might want to look these over anyway...